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

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

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

+ Inheritance diagram for 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

 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.