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QuantLib_ModifiedCraigSneydScheme
Langue: en
Version: 383691 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::ModifiedCraigSneydScheme -modified Craig-Sneyd scheme
SYNOPSIS
#include <ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp>
Public Types
typedef OperatorTraits< FdmLinearOp > traits
typedef traits::operator_type operator_type
typedef traits::array_type array_type
typedef traits::bc_set bc_set
typedef traits::condition_type condition_type
Public Member Functions
ModifiedCraigSneydScheme (Real theta, Real mu, const boost::shared_ptr< FdmLinearOpComposite > &map, const std::vector< boost::shared_ptr< FdmDirichletBoundary > > &bc_set=std::vector< boost::shared_ptr< FdmDirichletBoundary > >())
void step (array_type &a, Time t)
void setStep (Time dt)
Protected Attributes
Time dt_
const Real theta_
const Real mu_
const boost::shared_ptr< FdmLinearOpComposite > & map_
const std::vector< boost::shared_ptr< FdmDirichletBoundary > > bcSet_
Detailed Description
modified Craig-Sneyd scheme
References: K. J. in ât Hout and S. Foulon, ADI finite difference schemes for option pricing in the Heston model with correlation, http://arxiv.org/pdf/0811.3427
Author
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