ModifiedCraigSneydScheme Class Reference

modified Craig-Sneyd scheme More...

#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, ext::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 ext::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