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
The man page TRBDF2(3) is an alias of QuantLib_TRBDF2(3).