ExplicitEuler Class Template Reference
[Finite-differences framework]
#include <ql/methods/finitedifferences/expliciteuler.hpp>
Inheritance diagram for ExplicitEuler:

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; // 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&); static Operator identity(Size size); // operator algebra 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) |