bc_set (3) Linux Manual Page

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

Generated automatically by Doxygen for QuantLib from the source code.