TRBDF2< Operator > Class Template Reference

TR-BDF2 scheme for finite difference methods. More...

#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.