bc_set(3)

NAME

QuantLib::CrankNicolson – Crank-Nicolson scheme for finite difference methods.

SYNOPSIS

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

Inherits MixedScheme< Operator >.

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

CrankNicolson (const operator_type &L, const bc_set &bcs)

Detailed Description

template<class Operator> class QuantLib::CrankNicolson< Operator >

Crank-Nicolson 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:

typedef... array_type;
// copy constructor/assignment
// (these will be provided by the compiler if none is defined)
Operator(const Operator &);
Operator &operator=(const Operator &);
// inspectors
Size size();
// modifiers
void setTime(Time t);
// operator interface
array_type applyTo(const array_type &);
array_type solveFor(const array_type &);
static Operator identity(Size size);
// operator algebra
Operator operator*(Real, const Operator &);
Operator operator+(const Operator &, const Operator &);
Operator operator+(const Operator &, const Operator &);

Warning

The differential operator must be linear for this evolver to work.

Author

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