cranknicolson(3)

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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