TRBDF2< Operator > Class Template Reference

TR-BDF2 scheme for finite difference methods. More...

#include <trbdf2.hpp>

Collaboration diagram for TRBDF2< 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 Member Functions
	TRBDF2 (const operator_type &L, const bc_set &bcs)
void	step (array_type &a, Time t)
void	setStep (Time dt)

Private Attributes
Real	alpha_
operator_type	L_
operator_type	I_
operator_type	explicitTrapezoidalPart_
operator_type	explicitBDF2PartFull_
operator_type	explicitBDF2PartMid_
operator_type	implicitPart_
Time	dt_
bc_set	bcs_
array_type	aInit_

Detailed Description

template<class Operator>
class QuantLib::TRBDF2< Operator >

TR-BDF2 scheme for finite difference methods.

See http://ssrn.com/abstract=1648878 for details.

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 73 of file trbdf2.hpp.

Member Typedef Documentation

traits

typedef OperatorTraits<Operator> traits

Definition at line 76 of file trbdf2.hpp.

operator_type

typedef traits::operator_type operator_type

Definition at line 77 of file trbdf2.hpp.

array_type

typedef traits::array_type array_type

Definition at line 78 of file trbdf2.hpp.

bc_set

typedef traits::bc_set bc_set

Definition at line 79 of file trbdf2.hpp.

condition_type

typedef traits::condition_type condition_type

Definition at line 80 of file trbdf2.hpp.

Constructor & Destructor Documentation

TRBDF2()

TRBDF2	(	const operator_type &	L,
		const bc_set &	bcs
	)

Definition at line 82 of file trbdf2.hpp.

Member Function Documentation

step()

void step	(	array_type &	a,
		Time	t
	)

Definition at line 110 of file trbdf2.hpp.

setStep()

void setStep

(

Time

dt

)

Definition at line 88 of file trbdf2.hpp.

Member Data Documentation

alpha_

Real alpha_

private

Definition at line 98 of file trbdf2.hpp.

L_

operator_type L_

private

Definition at line 99 of file trbdf2.hpp.

I_

operator_type I_

private

Definition at line 99 of file trbdf2.hpp.

explicitTrapezoidalPart_

operator_type explicitTrapezoidalPart_

private

Definition at line 99 of file trbdf2.hpp.

explicitBDF2PartFull_

operator_type explicitBDF2PartFull_

private

Definition at line 100 of file trbdf2.hpp.

explicitBDF2PartMid_

operator_type explicitBDF2PartMid_

private

Definition at line 100 of file trbdf2.hpp.

implicitPart_

operator_type implicitPart_

private

Definition at line 100 of file trbdf2.hpp.

dt_

Time dt_

private

Definition at line 101 of file trbdf2.hpp.

bcs_

bc_set bcs_

private

Definition at line 102 of file trbdf2.hpp.

aInit_

array_type aInit_

private

Definition at line 103 of file trbdf2.hpp.