QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
#include <cranknicolsonscheme.hpp>
Public Types | |
typedef OperatorTraits< FdmLinearOp > | 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 | |
CrankNicolsonScheme (Real theta, const ext::shared_ptr< FdmLinearOpComposite > &map, const bc_set &bcSet=bc_set(), Real relTol=1e-8, ImplicitEulerScheme::SolverType solverType=ImplicitEulerScheme::BiCGstab) | |
void | step (array_type &a, Time t) |
void | setStep (Time dt) |
Size | numberOfIterations () const |
Protected Attributes | |
Real | dt_ |
const Real | theta_ |
const ext::shared_ptr< ExplicitEulerScheme > | explicit_ |
const ext::shared_ptr< ImplicitEulerScheme > | implicit_ |
Definition at line 37 of file cranknicolsonscheme.hpp.
typedef OperatorTraits<FdmLinearOp> traits |
Definition at line 40 of file cranknicolsonscheme.hpp.
typedef traits::operator_type operator_type |
Definition at line 41 of file cranknicolsonscheme.hpp.
typedef traits::array_type array_type |
Definition at line 42 of file cranknicolsonscheme.hpp.
typedef traits::bc_set bc_set |
Definition at line 43 of file cranknicolsonscheme.hpp.
typedef traits::condition_type condition_type |
Definition at line 44 of file cranknicolsonscheme.hpp.
CrankNicolsonScheme | ( | Real | theta, |
const ext::shared_ptr< FdmLinearOpComposite > & | map, | ||
const bc_set & | bcSet = bc_set() , |
||
Real | relTol = 1e-8 , |
||
ImplicitEulerScheme::SolverType | solverType = ImplicitEulerScheme::BiCGstab |
||
) |
Definition at line 24 of file cranknicolsonscheme.cpp.
void step | ( | array_type & | a, |
Time | t | ||
) |
Definition at line 37 of file cranknicolsonscheme.cpp.
void setStep | ( | Time | dt | ) |
Definition at line 47 of file cranknicolsonscheme.cpp.
Size numberOfIterations | ( | ) | const |
Definition at line 53 of file cranknicolsonscheme.cpp.
|
protected |
Definition at line 60 of file cranknicolsonscheme.hpp.
|
protected |
Definition at line 61 of file cranknicolsonscheme.hpp.
|
protected |
Definition at line 62 of file cranknicolsonscheme.hpp.
|
protected |
Definition at line 63 of file cranknicolsonscheme.hpp.