FiniteDifferenceModel< Evolver > Class Template Reference

Generic finite difference model. More...

#include <ql/methods/finitedifferences/finitedifferencemodel.hpp>

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Public Types
typedef Evolver::traits	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
	FiniteDifferenceModel (const operator_type &L, const bc_set &bcs, std::vector< Time > stoppingTimes=std::vector< Time >())
	FiniteDifferenceModel (Evolver evolver, std::vector< Time > stoppingTimes=std::vector< Time >())
const Evolver &	evolver () const
void	rollback (array_type &a, Time from, Time to, Size steps)
void	rollback (array_type &a, Time from, Time to, Size steps, const condition_type &condition)

Private Member Functions
void	rollbackImpl (array_type &a, Time from, Time to, Size steps, const condition_type *condition)

Private Attributes
Evolver	evolver_
std::vector< Time >	stoppingTimes_

Detailed Description

template<class Evolver>
class QuantLib::FiniteDifferenceModel< Evolver >

Generic finite difference model.

Definition at line 37 of file finitedifferencemodel.hpp.

Member Typedef Documentation

traits

typedef Evolver::traits traits

Definition at line 39 of file finitedifferencemodel.hpp.

operator_type

typedef traits::operator_type operator_type

Definition at line 40 of file finitedifferencemodel.hpp.

array_type

typedef traits::array_type array_type

Definition at line 41 of file finitedifferencemodel.hpp.

bc_set

typedef traits::bc_set bc_set

Definition at line 42 of file finitedifferencemodel.hpp.

condition_type

typedef traits::condition_type condition_type

Definition at line 43 of file finitedifferencemodel.hpp.

Constructor & Destructor Documentation

FiniteDifferenceModel() [1/2]

FiniteDifferenceModel	(	const operator_type &	L,
		const bc_set &	bcs,
		std::vector< Time >	stoppingTimes = std::vector<Time>()
	)

Definition at line 45 of file finitedifferencemodel.hpp.

FiniteDifferenceModel() [2/2]

FiniteDifferenceModel	(	Evolver	evolver,
		std::vector< Time >	stoppingTimes = std::vector<Time>()
	)

Definition at line 53 of file finitedifferencemodel.hpp.

Member Function Documentation

evolver()

const Evolver & evolver

(

)

const

Definition at line 62 of file finitedifferencemodel.hpp.

rollback() [1/2]

void rollback	(	array_type &	a,
		Time	from,
		Time	to,
		Size	steps
	)

solves the problem between the given times.

Warning:

being this a rollback, from must be a later time than to.

Definition at line 67 of file finitedifferencemodel.hpp.

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rollback() [2/2]

void rollback	(	array_type &	a,
		Time	from,
		Time	to,
		Size	steps,
		const condition_type &	condition
	)

solves the problem between the given times, applying a condition at every step.

Warning:

being this a rollback, from must be a later time than to.

Definition at line 78 of file finitedifferencemodel.hpp.

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rollbackImpl()

void rollbackImpl ( array_type &  a, Time  from, Time  to, Size  steps, const condition_type *  condition  )

private

Definition at line 86 of file finitedifferencemodel.hpp.

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Member Data Documentation

evolver_

Evolver evolver_

private

Definition at line 146 of file finitedifferencemodel.hpp.

stoppingTimes_

std::vector<Time> stoppingTimes_

private

Definition at line 147 of file finitedifferencemodel.hpp.