QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Types | Public Member Functions | Protected Attributes | List of all members
FdmBackwardSolver Class Reference

#include <fdmbackwardsolver.hpp>

+ Collaboration diagram for FdmBackwardSolver:

Public Types

typedef FdmLinearOp::array_type array_type
 

Public Member Functions

 FdmBackwardSolver (ext::shared_ptr< FdmLinearOpComposite > map, FdmBoundaryConditionSet bcSet, const ext::shared_ptr< FdmStepConditionComposite > &condition, const FdmSchemeDesc &schemeDesc)
 
void rollback (array_type &a, Time from, Time to, Size steps, Size dampingSteps)
 

Protected Attributes

const ext::shared_ptr< FdmLinearOpCompositemap_
 
const FdmBoundaryConditionSet bcSet_
 
const ext::shared_ptr< FdmStepConditionCompositecondition_
 
const FdmSchemeDesc schemeDesc_
 

Detailed Description

Definition at line 61 of file fdmbackwardsolver.hpp.

Member Typedef Documentation

◆ array_type

Definition at line 63 of file fdmbackwardsolver.hpp.

Constructor & Destructor Documentation

◆ FdmBackwardSolver()

FdmBackwardSolver ( ext::shared_ptr< FdmLinearOpComposite map,
FdmBoundaryConditionSet  bcSet,
const ext::shared_ptr< FdmStepConditionComposite > &  condition,
const FdmSchemeDesc schemeDesc 
)

Definition at line 80 of file fdmbackwardsolver.cpp.

Member Function Documentation

◆ rollback()

void rollback ( FdmBackwardSolver::array_type rhs,
Time  from,
Time  to,
Size  steps,
Size  dampingSteps 
)

Definition at line 92 of file fdmbackwardsolver.cpp.

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Member Data Documentation

◆ map_

const ext::shared_ptr<FdmLinearOpComposite> map_
protected

Definition at line 75 of file fdmbackwardsolver.hpp.

◆ bcSet_

const FdmBoundaryConditionSet bcSet_
protected

Definition at line 76 of file fdmbackwardsolver.hpp.

◆ condition_

const ext::shared_ptr<FdmStepConditionComposite> condition_
protected

Definition at line 77 of file fdmbackwardsolver.hpp.

◆ schemeDesc_

const FdmSchemeDesc schemeDesc_
protected

Definition at line 78 of file fdmbackwardsolver.hpp.