QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmbackwardsolver.hpp>
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< FdmLinearOpComposite > | map_ |
const FdmBoundaryConditionSet | bcSet_ |
const ext::shared_ptr< FdmStepConditionComposite > | condition_ |
const FdmSchemeDesc | schemeDesc_ |
Definition at line 61 of file fdmbackwardsolver.hpp.
typedef FdmLinearOp::array_type array_type |
Definition at line 63 of file fdmbackwardsolver.hpp.
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.
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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Definition at line 75 of file fdmbackwardsolver.hpp.
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Definition at line 76 of file fdmbackwardsolver.hpp.
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Definition at line 77 of file fdmbackwardsolver.hpp.
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Definition at line 78 of file fdmbackwardsolver.hpp.