QuantLib_ModifiedCraigSneydScheme man page

ModifiedCraigSneydScheme — modified Craig-Sneyd scheme


#include <ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp>

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 bc_set &bcSet=bc_set())

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 BoundaryConditionSchemeHelper 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


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Referenced By

bcSet_(3), map_(3), ModifiedCraigSneydScheme(3) and mu_(3) are aliases of QuantLib_ModifiedCraigSneydScheme(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib