ExplicitEuler (3) Linux Manual Page

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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