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modifiedcraigsneydscheme.hpp
Langue: en
Version: 383647 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp -modified Craig-Sneyd operator splitting
SYNOPSIS
#include <ql/methods/finitedifferences/operatortraits.hpp>
#include <ql/experimental/finitedifferences/fdmdirichletboundary.hpp>
#include <ql/experimental/finitedifferences/fdmlinearopcomposite.hpp>
Classes
class ModifiedCraigSneydScheme
modified Craig-Sneyd scheme
Detailed Description
modified Craig-Sneyd operator splitting
Author
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