QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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modifiedcraigsneydscheme.hpp File Reference

modified Craig-Sneyd operator splitting More...

#include <ql/methods/finitedifferences/operatortraits.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
#include <ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp>

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Classes

class  ModifiedCraigSneydScheme
 modified Craig-Sneyd scheme More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

modified Craig-Sneyd operator splitting

Definition in file modifiedcraigsneydscheme.hpp.