ModifiedCraigSneydScheme Class Reference

modified Craig-Sneyd scheme More...

#include <ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp>

List of all members.

Public Types

typedef OperatorTraits
< FdmLinearOp > 
traits
typedef traits::operator_type operator_type
typedef traits::array_type array_type
typedef traits::bc_set bc_set
typedef traits::condition_type condition_type

Public Member Functions

 ModifiedCraigSneydScheme (Real theta, Real mu, const boost::shared_ptr< FdmLinearOpComposite > &map, const std::vector< boost::shared_ptr< FdmDirichletBoundary > > &bc_set=std::vector< boost::shared_ptr< FdmDirichletBoundary > >())
void step (array_type &a, Time t)
void setStep (Time dt)

Protected Attributes

Time dt_
const Real theta_
const Real mu_
const boost::shared_ptr
< FdmLinearOpComposite > & 
map_
const std::vector
< boost::shared_ptr
< FdmDirichletBoundary > > 
bcSet_

Detailed Description

modified Craig-Sneyd scheme

References: K. J. in ’t Hout and S. Foulon, ADI finite difference schemes for option pricing in the Heston model with correlation, http://arxiv.org/pdf/0811.3427