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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_modified_craig_sneyd_scheme.html">ModifiedCraigSneydScheme</a></li> </ul>
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<div class="title">ModifiedCraigSneydScheme Class Reference</div> </div>
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<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>
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Public Types</h2></td></tr>
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typedef OperatorTraits< FdmLinearOp > </td><td class="memItemRight" valign="bottom"><b>traits</b></td></tr>
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typedef traits::operator_type </td><td class="memItemRight" valign="bottom"><b>operator_type</b></td></tr>
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typedef traits::array_type </td><td class="memItemRight" valign="bottom"><b>array_type</b></td></tr>
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typedef traits::bc_set </td><td class="memItemRight" valign="bottom"><b>bc_set</b></td></tr>
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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>
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 </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 ext::shared_ptr< FdmLinearOpComposite > &map, const bc_set &bcSet=bc_set())</td></tr>
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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>
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void </td><td class="memItemRight" valign="bottom"><b>setStep</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> dt)</td></tr>
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<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>dt_</b></td></tr>
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const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>theta_</b></td></tr>
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const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>mu_</b></td></tr>
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const ext::shared_ptr< FdmLinearOpComposite > </td><td class="memItemRight" valign="bottom"><b>map_</b></td></tr>
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const BoundaryConditionSchemeHelper </td><td class="memItemRight" valign="bottom"><b>bcSet_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">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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