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 ’t 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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