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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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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_t_r_b_d_f2.html">TRBDF2</a></li> </ul>
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<div class="summary">
<a href="#pub-types">Public Types</a> |
<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">TRBDF2< Operator > Class Template Reference<div class="ingroups"><a class="el" href="group__findiff.html">Finite-differences framework</a></div></div> </div>
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<p>TR-BDF2 scheme for finite difference methods.
<a href="class_quant_lib_1_1_t_r_b_d_f2.html#details">More...</a></p>
<p><code>#include <ql/methods/finitedifferences/trbdf2.hpp></code></p>
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Public Types</h2></td></tr>
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typedef OperatorTraits< Operator > </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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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>TRBDF2</b> (const operator_type &L, const bc_set &bcs)</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 name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class Operator><br />
class QuantLib::TRBDF2< Operator ></h3>
<p>TR-BDF2 scheme for finite difference methods. </p>
<p>See <a href="http://ssrn.com/abstract=1648878">http://ssrn.com/abstract=1648878</a> for details.</p>
<p>In this implementation, the passed operator must be derived from either TimeConstantOperator or TimeDependentOperator. Also, it must implement at least the following interface:</p>
<div class="fragment"><div class="line"><span class="keyword">typedef</span> ... array_type;</div>
<div class="line"> </div>
<div class="line"><span class="comment">// copy constructor/assignment</span></div>
<div class="line"><span class="comment">// (these will be provided by the compiler if none is defined)</span></div>
<div class="line">Operator(<span class="keyword">const</span> Operator&);</div>
<div class="line">Operator& operator=(<span class="keyword">const</span> Operator&);</div>
<div class="line"> </div>
<div class="line"><span class="comment">// inspectors</span></div>
<div class="line"><a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> size();</div>
<div class="line"> </div>
<div class="line"><span class="comment">// modifiers</span></div>
<div class="line"><span class="keywordtype">void</span> setTime(<a class="code" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7" title="continuous quantity with 1-year units">Time</a> t);</div>
<div class="line"> </div>
<div class="line"><span class="comment">// operator interface</span></div>
<div class="line">array_type applyTo(<span class="keyword">const</span> array_type&);</div>
<div class="line">array_type solveFor(<span class="keyword">const</span> array_type&);</div>
<div class="line"><span class="keyword">static</span> Operator identity(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> size);</div>
<div class="line"> </div>
<div class="line"><span class="comment">// operator algebra</span></div>
<div class="line">Operator operator*(<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a>, <span class="keyword">const</span> Operator&);</div>
<div class="line">Operator operator+(<span class="keyword">const</span> Operator&, <span class="keyword">const</span> Operator&);</div>
<div class="line">Operator operator+(<span class="keyword">const</span> Operator&, <span class="keyword">const</span> Operator&);</div>
</div><!-- fragment --><dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000112">Warning:</a></b></dt><dd>The differential operator must be linear for this evolver to work.</dd></dl>
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