CrankNicolson< Operator > Class Template Reference

Crank-Nicolson scheme for finite difference methods. More...

#include <cranknicolson.hpp>

Inheritance diagram for CrankNicolson< Operator >:

Collaboration diagram for CrankNicolson< Operator >:

Public Types
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 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
	CrankNicolson (const operator_type &L, const bc_set &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::CrankNicolson< Operator >

Crank-Nicolson scheme for finite difference methods.

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

Warning:

The differential operator must be linear for this evolver to work.

Definition at line 67 of file cranknicolson.hpp.

Member Typedef Documentation

traits

typedef OperatorTraits<Operator> traits

Definition at line 70 of file cranknicolson.hpp.

operator_type

typedef traits::operator_type operator_type

Definition at line 71 of file cranknicolson.hpp.

array_type

typedef traits::array_type array_type

Definition at line 72 of file cranknicolson.hpp.

bc_set

typedef traits::bc_set bc_set

Definition at line 73 of file cranknicolson.hpp.

condition_type

typedef traits::condition_type condition_type

Definition at line 74 of file cranknicolson.hpp.

Constructor & Destructor Documentation

CrankNicolson()

CrankNicolson	(	const operator_type &	L,
		const bc_set &	bcs
	)

Definition at line 76 of file cranknicolson.hpp.