QuantLib_TRBDF2 man page

TRBDF2< Operator > — TR-BDF2 scheme for finite difference methods.

Synopsis

#include <ql/methods/finitedifferences/trbdf2.hpp>

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

TRBDF2 (const operator_type &L, const bc_set &bcs)

void step (array_type &a, Time t)

void setStep (Time dt)

Detailed Description

template<class Operator>

class QuantLib::TRBDF2< Operator >" TR-BDF2 scheme for finite difference methods.

See http://ssrn.com/abstract=1648878 for details.

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

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

Warning

The differential operator must be linear for this evolver to work.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

TRBDF2(3) is an alias of QuantLib_TRBDF2(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib