QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Mixed (explicit/implicit) scheme for finite difference methods. More...
#include <mixedscheme.hpp>
Public Types | |
typedef OperatorTraits< Operator > | 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 | |
MixedScheme (const operator_type &L, Real theta, bc_set bcs) | |
void | step (array_type &a, Time t) |
void | setStep (Time dt) |
Protected Attributes | |
operator_type | L_ |
operator_type | I_ |
operator_type | explicitPart_ |
operator_type | implicitPart_ |
Time | dt_ |
Real | theta_ |
bc_set | bcs_ |
Mixed (explicit/implicit) scheme for finite difference methods.
In this implementation, the passed operator must be derived from either TimeConstantOperator or TimeDependentOperator. Also, it must implement at least the following interface:
Definition at line 73 of file mixedscheme.hpp.
typedef OperatorTraits<Operator> traits |
Definition at line 76 of file mixedscheme.hpp.
typedef traits::operator_type operator_type |
Definition at line 77 of file mixedscheme.hpp.
typedef traits::array_type array_type |
Definition at line 78 of file mixedscheme.hpp.
typedef traits::bc_set bc_set |
Definition at line 79 of file mixedscheme.hpp.
typedef traits::condition_type condition_type |
Definition at line 80 of file mixedscheme.hpp.
MixedScheme | ( | const operator_type & | L, |
Real | theta, | ||
bc_set | bcs | ||
) |
Definition at line 82 of file mixedscheme.hpp.
void step | ( | array_type & | a, |
Time | t | ||
) |
Definition at line 105 of file mixedscheme.hpp.
void setStep | ( | Time | dt | ) |
Definition at line 87 of file mixedscheme.hpp.
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Definition at line 95 of file mixedscheme.hpp.
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Definition at line 95 of file mixedscheme.hpp.
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Definition at line 95 of file mixedscheme.hpp.
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Definition at line 95 of file mixedscheme.hpp.
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Definition at line 96 of file mixedscheme.hpp.
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Definition at line 97 of file mixedscheme.hpp.
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Definition at line 98 of file mixedscheme.hpp.