QuantLib_ImplicitEuler man page

ImplicitEuler< Operator > — Backward Euler scheme for finite difference methods.

Synopsis

#include <ql/methods/finitedifferences/impliciteuler.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_set bc_set

typedef traits::condition_type condition_type

Public Member Functions

ImplicitEuler (const operator_type &L, const bc_set &bcs)

Additional Inherited Members

Detailed Description

template<class Operator>

class QuantLib::ImplicitEuler< Operator >" Backward Euler scheme for finite difference methods.

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 solveFor(const array_type&);
static Operator identity(Size size);

// operator algebra
Operator operator*(Real, const Operator&);
Operator operator+(const Operator&, const Operator&);

Author

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Referenced By

ImplicitEuler(3) is an alias of QuantLib_ImplicitEuler(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib