ExplicitEuler< Operator > Class Template Reference

Forward Euler scheme for finite difference methods More...

#include <ql/methods/finitedifferences/expliciteuler.hpp>

Inheritance diagram for ExplicitEuler< Operator >:

List of all members.

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)

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&);
Possible enhancements:
add Richardson extrapolation