QuantLib_ExplicitEuler (3) - Linux Manuals

QuantLib_ExplicitEuler: Forward Euler scheme for finite difference methods


QuantLib::ExplicitEuler - Forward Euler scheme for finite difference methods


#include <ql/methods/finitedifferences/expliciteuler.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_type bc_type

typedef traits::bc_set bc_set

typedef traits::condition_type condition_type

Public Member Functions

ExplicitEuler (const operator_type &L, const std::vector< boost::shared_ptr< bc_type > > &bcs)

Detailed Description

template<class Operator> class QuantLib::ExplicitEuler< Operator >

Forward Euler scheme for finite difference methods

See sect. Finite-differences framework for details on the method.

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&);
        static Operator identity(Size size);

        // operator algebra
        Operator operator*(Real, const Operator&);
        Operator operator-(const Operator&, const Operator&);

Possible enhancements

add Richardson extrapolation


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