QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmbackwardsolver.hpp>
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 |
Definition at line 35 of file fdmbackwardsolver.hpp.
enum FdmSchemeType |
Enumerator | |
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HundsdorferType | |
DouglasType | |
CraigSneydType | |
ModifiedCraigSneydType | |
ImplicitEulerType | |
ExplicitEulerType | |
MethodOfLinesType | |
TrBDF2Type | |
CrankNicolsonType |
Definition at line 36 of file fdmbackwardsolver.hpp.
FdmSchemeDesc | ( | FdmSchemeType | type, |
Real | theta, | ||
Real | mu | ||
) |
Definition at line 43 of file fdmbackwardsolver.cpp.
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Definition at line 48 of file fdmbackwardsolver.cpp.
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Definition at line 66 of file fdmbackwardsolver.cpp.
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Definition at line 54 of file fdmbackwardsolver.cpp.
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Definition at line 58 of file fdmbackwardsolver.cpp.
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Definition at line 62 of file fdmbackwardsolver.cpp.
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Definition at line 74 of file fdmbackwardsolver.cpp.
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Definition at line 78 of file fdmbackwardsolver.cpp.
const FdmSchemeType type |
Definition at line 44 of file fdmbackwardsolver.hpp.
const Real theta |
Definition at line 45 of file fdmbackwardsolver.hpp.
const Real mu |
Definition at line 45 of file fdmbackwardsolver.hpp.