QuantLib_TRBDF2 man page

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

TRBDF2 (const operator_type &L, const bc_set &bcs)
void step (array_type &a, Time t)
void setStep (Time dt)

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.