QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 |
modified Craig-Sneyd operator splitting
Definition in file modifiedcraigsneydscheme.hpp.