QuantLib_ExplicitEuler man page

ExplicitEuler< Operator > — Forward Euler scheme for finite difference methods  


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

Inherits MixedScheme< Operator >.

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)

Additional Inherited 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;

// 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&);


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Referenced By

The man pages bc_type(3) and ExplicitEuler(3) are aliases of QuantLib_ExplicitEuler(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib