QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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modified Craig-Sneyd scheme More...
#include <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, ext::shared_ptr< FdmLinearOpComposite > map, const bc_set &bcSet=bc_set()) | |
void | step (array_type &a, Time t) |
void | setStep (Time dt) |
Protected Attributes | |
Time | dt_ |
const Real | theta_ |
const Real | mu_ |
const ext::shared_ptr< FdmLinearOpComposite > | map_ |
const BoundaryConditionSchemeHelper | bcSet_ |
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
Definition at line 40 of file modifiedcraigsneydscheme.hpp.
typedef OperatorTraits<FdmLinearOp> traits |
Definition at line 43 of file modifiedcraigsneydscheme.hpp.
typedef traits::operator_type operator_type |
Definition at line 44 of file modifiedcraigsneydscheme.hpp.
typedef traits::array_type array_type |
Definition at line 45 of file modifiedcraigsneydscheme.hpp.
typedef traits::bc_set bc_set |
Definition at line 46 of file modifiedcraigsneydscheme.hpp.
typedef traits::condition_type condition_type |
Definition at line 47 of file modifiedcraigsneydscheme.hpp.
ModifiedCraigSneydScheme | ( | Real | theta, |
Real | mu, | ||
ext::shared_ptr< FdmLinearOpComposite > | map, | ||
const bc_set & | bcSet = bc_set() |
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Definition at line 25 of file modifiedcraigsneydscheme.cpp.
void step | ( | array_type & | a, |
Time | t | ||
) |
Definition at line 31 of file modifiedcraigsneydscheme.cpp.
void setStep | ( | Time | dt | ) |
Definition at line 61 of file modifiedcraigsneydscheme.cpp.
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Definition at line 59 of file modifiedcraigsneydscheme.hpp.
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Definition at line 60 of file modifiedcraigsneydscheme.hpp.
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Definition at line 61 of file modifiedcraigsneydscheme.hpp.
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Definition at line 62 of file modifiedcraigsneydscheme.hpp.
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Definition at line 63 of file modifiedcraigsneydscheme.hpp.