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QuantLib_CrankNicolson

NAME

QuantLib::CrankNicolson -

Crank-Nicolson scheme for finite difference methods.

SYNOPSIS

#include <ql/methods/finitedifferences/cranknicolson.hpp>

Inherits QuantLib::MixedScheme< Operator >.

Public Types

typedef OperatorTraits< Operator > 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

CrankNicolson (const operator_type &L, const bc_set &bcs)

Detailed Description

template<class Operator> class QuantLib::CrankNicolson< Operator >

Crank-Nicolson scheme for finite difference methods.

In this implementation, the passed operator must be derived from either TimeConstantOperator or TimeDependentOperator. Also, it must implement at least the following interface:

         typedef ... array_type;
 
         // copy constructor/assignment
         // (these will be provided by the compiler if none is defined)
         Operator(const Operator&);
         Operator& operator=(const Operator&);
 
         // inspectors
         Size size();
 
         // modifiers
         void setTime(Time t);
 
         // operator interface
         array_type applyTo(const array_type&);
         array_type solveFor(const array_type&);
         static Operator identity(Size size);
 
         // operator algebra
         Operator operator*(Real, const Operator&);
         Operator operator+(const Operator&, const Operator&);
         Operator operator+(const Operator&, const Operator&);
 

Warning

The differential operator must be linear for this evolver to work.

Author

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