QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <impliciteulerscheme.hpp>
Public Types | |
enum | SolverType { BiCGstab , GMRES } |
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 | |
ImplicitEulerScheme (ext::shared_ptr< FdmLinearOpComposite > map, const bc_set &bcSet=bc_set(), Real relTol=1e-8, SolverType solverType=BiCGstab) | |
void | step (array_type &a, Time t) |
void | setStep (Time dt) |
Size | numberOfIterations () const |
Protected Member Functions | |
void | step (array_type &a, Time t, Real theta) |
Array | apply (const Array &r, Real theta) const |
Protected Attributes | |
Time | dt_ |
ext::shared_ptr< Size > | iterations_ |
const Real | relTol_ |
const ext::shared_ptr< FdmLinearOpComposite > | map_ |
const BoundaryConditionSchemeHelper | bcSet_ |
const SolverType | solverType_ |
Friends | |
class | CrankNicolsonScheme |
Definition at line 35 of file impliciteulerscheme.hpp.
typedef OperatorTraits<FdmLinearOp> traits |
Definition at line 40 of file impliciteulerscheme.hpp.
typedef traits::operator_type operator_type |
Definition at line 41 of file impliciteulerscheme.hpp.
typedef traits::array_type array_type |
Definition at line 42 of file impliciteulerscheme.hpp.
typedef traits::bc_set bc_set |
Definition at line 43 of file impliciteulerscheme.hpp.
typedef traits::condition_type condition_type |
Definition at line 44 of file impliciteulerscheme.hpp.
enum SolverType |
Enumerator | |
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BiCGstab | |
GMRES |
Definition at line 37 of file impliciteulerscheme.hpp.
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explicit |
Definition at line 30 of file impliciteulerscheme.cpp.
void step | ( | array_type & | a, |
Time | t | ||
) |
Definition at line 41 of file impliciteulerscheme.cpp.
void setStep | ( | Time | dt | ) |
Definition at line 82 of file impliciteulerscheme.cpp.
Size numberOfIterations | ( | ) | const |
Definition at line 86 of file impliciteulerscheme.cpp.
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protected |
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friend |
Definition at line 57 of file impliciteulerscheme.hpp.
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protected |
Definition at line 62 of file impliciteulerscheme.hpp.
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protected |
Definition at line 63 of file impliciteulerscheme.hpp.
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protected |
Definition at line 65 of file impliciteulerscheme.hpp.
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protected |
Definition at line 66 of file impliciteulerscheme.hpp.
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protected |
Definition at line 67 of file impliciteulerscheme.hpp.
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protected |
Definition at line 68 of file impliciteulerscheme.hpp.