ExplicitEuler Class Template Reference
[Finite-differences framework]

#include <ql/FiniteDifferences/expliciteuler.hpp>

Inheritance diagram for ExplicitEuler:

Inheritance graph
[legend]
List of all members.

Detailed Description

template<class Operator>
class QuantLib::ExplicitEuler< Operator >

Forward Euler scheme for finite difference methods.

See sect. Finite-differences framework for details on the method.

In this implementation, the passed operator must be derived from either TimeConstantOperator or TimeDependentOperator. Also, it must implement at least the following interface:

        typedef ... arrayType;

        // 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
        arrayType applyTo(const arrayType&);
        static Operator identity(Size size);

        // operator algebra
        Operator operator*(Real, const Operator&);
        Operator operator-(const Operator&, const Operator&);

Todo:
add Richardson extrapolation


Friends

class FiniteDifferenceModel<ExplicitEuler<Operator> >


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