CrankNicolson Class Template Reference
[Finite-differences framework]
#include <ql/FiniteDifferences/cranknicolson.hpp>
Inheritance diagram for CrankNicolson:

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; // 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.