Linux Certif

Toute la documentation sur la certification Linux LPI

QuantLib_ExplicitEuler

NAME

QuantLib::ExplicitEuler -

Forward Euler scheme for finite difference methods

SYNOPSIS

#include <ql/methods/finitedifferences/expliciteuler.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_type bc_type

typedef traits::bc_set bc_set

typedef traits::condition_type condition_type

Public Member Functions

ExplicitEuler (const operator_type &L, const std::vector< boost::shared_ptr< bc_type > > &bcs)

Detailed Description

template<class Operator> class QuantLib::ExplicitEuler< Operator >

Forward Euler scheme for finite difference methods

See sect. Finite-differences framework for details on the method.

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&);
         static Operator identity(Size size);
 
         // operator algebra
         Operator operator*(Real, const Operator&);
         Operator operator-(const Operator&, const Operator&);
 

Possible enhancements

add Richardson extrapolation

Author

Generated automatically by Doxygen for QuantLib from the source code.