QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Types | Public Member Functions | Static Public Member Functions | Public Attributes | List of all members
FdmSchemeDesc Struct Reference

#include <fdmbackwardsolver.hpp>

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Public Types

enum  FdmSchemeType {
  HundsdorferType , DouglasType , CraigSneydType , ModifiedCraigSneydType ,
  ImplicitEulerType , ExplicitEulerType , MethodOfLinesType , TrBDF2Type ,
  CrankNicolsonType
}
 

Public Member Functions

 FdmSchemeDesc (FdmSchemeType type, Real theta, Real mu)
 

Static Public Member Functions

static FdmSchemeDesc Douglas ()
 
static FdmSchemeDesc CrankNicolson ()
 
static FdmSchemeDesc ImplicitEuler ()
 
static FdmSchemeDesc ExplicitEuler ()
 
static FdmSchemeDesc CraigSneyd ()
 
static FdmSchemeDesc ModifiedCraigSneyd ()
 
static FdmSchemeDesc Hundsdorfer ()
 
static FdmSchemeDesc ModifiedHundsdorfer ()
 
static FdmSchemeDesc MethodOfLines (Real eps=0.001, Real relInitStepSize=0.01)
 
static FdmSchemeDesc TrBDF2 ()
 

Public Attributes

const FdmSchemeType type
 
const Real theta
 
const Real mu
 

Detailed Description

Definition at line 35 of file fdmbackwardsolver.hpp.

Member Enumeration Documentation

◆ FdmSchemeType

Enumerator
HundsdorferType 
DouglasType 
CraigSneydType 
ModifiedCraigSneydType 
ImplicitEulerType 
ExplicitEulerType 
MethodOfLinesType 
TrBDF2Type 
CrankNicolsonType 

Definition at line 36 of file fdmbackwardsolver.hpp.

Constructor & Destructor Documentation

◆ FdmSchemeDesc()

FdmSchemeDesc ( FdmSchemeType  type,
Real  theta,
Real  mu 
)

Definition at line 43 of file fdmbackwardsolver.cpp.

Member Function Documentation

◆ Douglas()

FdmSchemeDesc Douglas ( )
static

Definition at line 46 of file fdmbackwardsolver.cpp.

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◆ CrankNicolson()

Definition at line 48 of file fdmbackwardsolver.cpp.

◆ ImplicitEuler()

Definition at line 70 of file fdmbackwardsolver.cpp.

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◆ ExplicitEuler()

Definition at line 66 of file fdmbackwardsolver.cpp.

◆ CraigSneyd()

FdmSchemeDesc CraigSneyd ( )
static

Definition at line 52 of file fdmbackwardsolver.cpp.

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◆ ModifiedCraigSneyd()

FdmSchemeDesc ModifiedCraigSneyd ( )
static

Definition at line 54 of file fdmbackwardsolver.cpp.

◆ Hundsdorfer()

FdmSchemeDesc Hundsdorfer ( )
static

Definition at line 58 of file fdmbackwardsolver.cpp.

◆ ModifiedHundsdorfer()

FdmSchemeDesc ModifiedHundsdorfer ( )
static

Definition at line 62 of file fdmbackwardsolver.cpp.

◆ MethodOfLines()

FdmSchemeDesc MethodOfLines ( Real  eps = 0.001,
Real  relInitStepSize = 0.01 
)
static

Definition at line 74 of file fdmbackwardsolver.cpp.

◆ TrBDF2()

FdmSchemeDesc TrBDF2 ( )
static

Definition at line 78 of file fdmbackwardsolver.cpp.

Member Data Documentation

◆ type

const FdmSchemeType type

Definition at line 44 of file fdmbackwardsolver.hpp.

◆ theta

const Real theta

Definition at line 45 of file fdmbackwardsolver.hpp.

◆ mu

const Real mu

Definition at line 45 of file fdmbackwardsolver.hpp.