#include <ql/FiniteDifferences/cranknicolson.hpp>
Inheritance diagram for CrankNicolson:
[legend]List of all members.
Detailed Description
template<class Operator>
class QuantLib::CrankNicolson< Operator >
Crank-Nicolson 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;
Operator(const Operator&);
Operator& operator=(const Operator&);
Size size();
void setTime(Time t);
array_type applyTo(const array_type&);
array_type solveFor(const array_type&);
static Operator identity(Size size);
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.
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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 |
| CrankNicolson (const operator_type &L, const bc_set &bcs) |
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