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QuantLib_CrankNicolson
Langue: en
Version: 374387 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
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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