QuantLib_MixedScheme (3) - Linux Manuals

QuantLib_MixedScheme: Mixed (explicit/implicit) scheme for finite difference methods.

NAME

QuantLib::MixedScheme - Mixed (explicit/implicit) scheme for finite difference methods.

SYNOPSIS

#include <ql/methods/finitedifferences/mixedscheme.hpp>

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

MixedScheme (const operator_type &L, Real theta, const bc_set &bcs)

void step (array_type &a, Time t)

void setStep (Time dt)

Protected Attributes

operator_type L_

operator_type I_

operator_type explicitPart_

operator_type implicitPart_

Time dt_

Real theta_

bc_set bcs_

Detailed Description

template<class Operator> class QuantLib::MixedScheme< Operator >

Mixed (explicit/implicit) 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.

Possible enhancements

*

derive variable theta schemes

*

introduce multi time-level schemes.

Author

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