QuantLib: a free/open-source library for quantitative finance
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Public Types | Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
MethodOfLinesScheme Class Reference

#include <ql/methods/finitedifferences/schemes/methodoflinesscheme.hpp>

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Public Types

typedef OperatorTraits< FdmLinearOptraits
 
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

 MethodOfLinesScheme (Real eps, Real relInitStepSize, ext::shared_ptr< FdmLinearOpComposite > map, const bc_set &bcSet=bc_set())
 
void step (array_type &a, Time t)
 
void setStep (Time dt)
 

Protected Member Functions

std::vector< Realapply (Time, const std::vector< Real > &) const
 

Protected Attributes

Time dt_
 
const Real eps_
 
const Real relInitStepSize_
 
const ext::shared_ptr< FdmLinearOpCompositemap_
 
const BoundaryConditionSchemeHelper bcSet_
 

Detailed Description

Definition at line 33 of file methodoflinesscheme.hpp.

Member Typedef Documentation

◆ traits

Definition at line 36 of file methodoflinesscheme.hpp.

◆ operator_type

Definition at line 37 of file methodoflinesscheme.hpp.

◆ array_type

Definition at line 38 of file methodoflinesscheme.hpp.

◆ bc_set

Definition at line 39 of file methodoflinesscheme.hpp.

◆ condition_type

Definition at line 40 of file methodoflinesscheme.hpp.

Constructor & Destructor Documentation

◆ MethodOfLinesScheme()

MethodOfLinesScheme ( Real  eps,
Real  relInitStepSize,
ext::shared_ptr< FdmLinearOpComposite map,
const bc_set bcSet = bc_set() 
)

Definition at line 26 of file methodoflinesscheme.cpp.

Member Function Documentation

◆ step()

void step ( array_type a,
Time  t 
)

Definition at line 43 of file methodoflinesscheme.cpp.

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◆ setStep()

void setStep ( Time  dt)

Definition at line 59 of file methodoflinesscheme.cpp.

◆ apply()

std::vector< Real > apply ( Time  t,
const std::vector< Real > &  u 
) const
protected

Definition at line 34 of file methodoflinesscheme.cpp.

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Member Data Documentation

◆ dt_

Time dt_
protected

Definition at line 55 of file methodoflinesscheme.hpp.

◆ eps_

const Real eps_
protected

Definition at line 56 of file methodoflinesscheme.hpp.

◆ relInitStepSize_

const Real relInitStepSize_
protected

Definition at line 56 of file methodoflinesscheme.hpp.

◆ map_

const ext::shared_ptr<FdmLinearOpComposite> map_
protected

Definition at line 57 of file methodoflinesscheme.hpp.

◆ bcSet_

const BoundaryConditionSchemeHelper bcSet_
protected

Definition at line 58 of file methodoflinesscheme.hpp.