cranknicolson.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file cranknicolson.hpp
    \brief Crank-Nicolson scheme for finite difference methods
*/
 
#ifndef quantlib_crank_nicolson_hpp
#define quantlib_crank_nicolson_hpp
 
#include <ql/methods/finitedifferences/mixedscheme.hpp>
 
namespace QuantLib {
 
    //! 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:
 
        \code
        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&);
        \endcode
 
        \warning The differential operator must be linear for
                 this evolver to work.
 
        \ingroup findiff
    */
    template <class Operator>
    class CrankNicolson : public MixedScheme<Operator> {
      public:
        // typedefs
        typedef OperatorTraits<Operator> traits;
        typedef typename traits::operator_type operator_type;
        typedef typename traits::array_type array_type;
        typedef typename traits::bc_set bc_set;
        typedef typename traits::condition_type condition_type;
        // constructors
        CrankNicolson(const operator_type& L,
                      const bc_set& bcs)
        : MixedScheme<Operator>(L, 0.5, bcs) {}
    };
 
}
 
 
#endif