#include <ql/FiniteDifferences/expliciteuler.hpp>
Inheritance diagram for ExplicitEuler:
[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 ... array_type;
Operator(const Operator&);
Operator& operator=(const Operator&);
Size size();
void setTime(Time t);
array_type applyTo(const array_type&);
static Operator identity(Size size);
Operator operator*(Real, const Operator&);
Operator operator-(const Operator&, const Operator&);
- Todo:
- add Richardson extrapolation
|
Public Types |
typedef OperatorTraits< Operator > | traits |
typedef traits::operator_type | operator_type |
typedef traits::array_type | array_type |
typedef traits::bc_type | bc_type |
typedef traits::bc_set | bc_set |
typedef traits::condition_type | condition_type |
Public Member Functions |
| ExplicitEuler (const operator_type &L, const std::vector< boost::shared_ptr< bc_type > > &bcs) |
|