Forward Euler scheme for finite difference methods More...

#include <ql/methods/finitedifferences/expliciteuler.hpp>

Inheritance diagram for ExplicitEuler< Operator >:

Collaboration diagram for ExplicitEuler< Operator >:

Public Types
typedef OperatorTraits< Operator >	traits

typedef traits::operator_type	operator_type

typedef traits::array_type	array_type

typedef traits::bc_type	bc_type

typedef traits::bc_set	bc_set

typedef traits::condition_type	condition_type

Public Types inherited from MixedScheme< Operator >
typedef OperatorTraits< Operator >	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
	ExplicitEuler (const operator_type &L, const std::vector< ext::shared_ptr< bc_type > > &bcs)

Public Member Functions inherited from MixedScheme< Operator >
	MixedScheme (const operator_type &L, Real theta, bc_set bcs)

void	step (array_type &a, Time t)

void	setStep (Time dt)

Additional Inherited Members
Protected Attributes inherited from MixedScheme< Operator >
operator_type	L_

operator_type	I_

operator_type	explicitPart_

operator_type	implicitPart_

Time	dt_

Real	theta_

bc_set	bcs_

Detailed Description

template<class Operator>
class QuantLib::ExplicitEuler< Operator >

Forward Euler scheme for finite difference methods

See sect. Finite-differences framework for details on the method.

In this implementation, the passed operator must be derived from either TimeConstantOperator or TimeDependentOperator. Also, it must implement at least the following interface:

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&);
static Operator identity(Size size);
 
// operator algebra
Operator operator*(Real, const Operator&);
Operator operator-(const Operator&, const Operator&);