QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Types | Public Member Functions | List of all members
ExplicitEuler< Operator > Class Template Reference

Forward Euler scheme for finite difference methods More...

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

+ Inheritance diagram for ExplicitEuler< 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 Types inherited from MixedScheme< Operator >
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

 ExplicitEuler (const operator_type &L, const std::vector< ext::shared_ptr< bc_type > > &bcs)
 
- Public Member Functions inherited from MixedScheme< Operator >
 MixedScheme (const operator_type &L, Real theta, const bc_set &bcs)
 
void step (array_type &a, Time t)
 
void setStep (Time dt)
 

Additional Inherited Members

- Protected Attributes inherited from MixedScheme< Operator >
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::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&);