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NAME

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

SYNOPSIS

#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

Author

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