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<li class="navelem"><a class="el" href="class_quant_lib_1_1_modified_craig_sneyd_scheme.html">ModifiedCraigSneydScheme</a> </li>
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<div class="title">ModifiedCraigSneydScheme Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::ModifiedCraigSneydScheme" -->
<p>modified Craig-Sneyd scheme
<a href="class_quant_lib_1_1_modified_craig_sneyd_scheme.html#details">More...</a></p>
<p><code>#include <ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp></code></p>
<p><a href="class_quant_lib_1_1_modified_craig_sneyd_scheme-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad66caa3a712f1851c280155e836560f1"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::traits" ref="ad66caa3a712f1851c280155e836560f1" args="" -->
typedef OperatorTraits<br class="typebreak"/>
< FdmLinearOp > </td><td class="memItemRight" valign="bottom"><b>traits</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a02ede700df8d04acf392294f6ab090c4"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::operator_type" ref="a02ede700df8d04acf392294f6ab090c4" args="" -->
typedef traits::operator_type </td><td class="memItemRight" valign="bottom"><b>operator_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac07e755f1412353806d561469c9ad49f"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::array_type" ref="ac07e755f1412353806d561469c9ad49f" args="" -->
typedef traits::array_type </td><td class="memItemRight" valign="bottom"><b>array_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7fb68e182d263712988c9b0afe1ad6a0"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::bc_set" ref="a7fb68e182d263712988c9b0afe1ad6a0" args="" -->
typedef traits::bc_set </td><td class="memItemRight" valign="bottom"><b>bc_set</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9b68be7f0b8097f723468a930f604c39"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::condition_type" ref="a9b68be7f0b8097f723468a930f604c39" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_step_condition.html">traits::condition_type</a> </td><td class="memItemRight" valign="bottom"><b>condition_type</b></td></tr>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a76a5f707741a083c6f4dbaaf3ee494f5"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::ModifiedCraigSneydScheme" ref="a76a5f707741a083c6f4dbaaf3ee494f5" args="(Real theta, Real mu, const boost::shared_ptr< FdmLinearOpComposite > &map, const std::vector< boost::shared_ptr< FdmDirichletBoundary > > &bc_set=std::vector< boost::shared_ptr< FdmDirichletBoundary > >())" -->
 </td><td class="memItemRight" valign="bottom"><b>ModifiedCraigSneydScheme</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> theta, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> mu, const boost::shared_ptr< FdmLinearOpComposite > &map, const std::vector< boost::shared_ptr< FdmDirichletBoundary > > &bc_set=std::vector< boost::shared_ptr< FdmDirichletBoundary > >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae31015dcf2ddc4f248be2533b0bbbd95"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::step" ref="ae31015dcf2ddc4f248be2533b0bbbd95" args="(array_type &a, Time t)" -->
void </td><td class="memItemRight" valign="bottom"><b>step</b> (array_type &a, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7c6bf7e1e335626aa6f4e7a46f361b50"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::setStep" ref="a7c6bf7e1e335626aa6f4e7a46f361b50" args="(Time dt)" -->
void </td><td class="memItemRight" valign="bottom"><b>setStep</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt)</td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6be603d8547f31e72817d2aaf219e325"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::dt_" ref="a6be603d8547f31e72817d2aaf219e325" args="" -->
<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>dt_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a290a7be767e7d6796da0962c2462d785"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::theta_" ref="a290a7be767e7d6796da0962c2462d785" args="" -->
const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>theta_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4f72ee8e7b9ca115f61ebd6c7fa65251"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::mu_" ref="a4f72ee8e7b9ca115f61ebd6c7fa65251" args="" -->
const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>mu_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af39714d9545afb8b657218e47c8d34fa"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::map_" ref="af39714d9545afb8b657218e47c8d34fa" args="" -->
const boost::shared_ptr<br class="typebreak"/>
< FdmLinearOpComposite > & </td><td class="memItemRight" valign="bottom"><b>map_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4f13d4cdd0a54c11bd935450ba2e26e5"></a><!-- doxytag: member="QuantLib::ModifiedCraigSneydScheme::bcSet_" ref="a4f13d4cdd0a54c11bd935450ba2e26e5" args="" -->
const std::vector<br class="typebreak"/>
< boost::shared_ptr<br class="typebreak"/>
< FdmDirichletBoundary > > </td><td class="memItemRight" valign="bottom"><b>bcSet_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>modified Craig-Sneyd scheme </p>
<p>References: K. J. in ’t Hout and S. Foulon, ADI finite difference schemes for option pricing in the Heston model with correlation, <a href="http://arxiv.org/pdf/0811.3427">http://arxiv.org/pdf/0811.3427</a> </p>
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