ModifiedCraigSneydScheme Class Reference

modified Craig-Sneyd scheme More...

#include <modifiedcraigsneydscheme.hpp>

Collaboration diagram for ModifiedCraigSneydScheme:

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

Definition at line 40 of file modifiedcraigsneydscheme.hpp.

Member Typedef Documentation

traits

typedef OperatorTraits<FdmLinearOp> traits

Definition at line 43 of file modifiedcraigsneydscheme.hpp.

operator_type

typedef traits::operator_type operator_type

Definition at line 44 of file modifiedcraigsneydscheme.hpp.

array_type

typedef traits::array_type array_type

Definition at line 45 of file modifiedcraigsneydscheme.hpp.

bc_set

typedef traits::bc_set bc_set

Definition at line 46 of file modifiedcraigsneydscheme.hpp.

condition_type

typedef traits::condition_type condition_type

Definition at line 47 of file modifiedcraigsneydscheme.hpp.

Constructor & Destructor Documentation

ModifiedCraigSneydScheme()

ModifiedCraigSneydScheme	(	Real	theta,
		Real	mu,
		ext::shared_ptr< FdmLinearOpComposite >	map,
		const bc_set &	bcSet = bc_set()
	)

Definition at line 25 of file modifiedcraigsneydscheme.cpp.

Member Function Documentation

step()

void step	(	array_type &	a,
		Time	t
	)

Definition at line 31 of file modifiedcraigsneydscheme.cpp.

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setStep()

void setStep

(

Time

dt

)

Definition at line 61 of file modifiedcraigsneydscheme.cpp.

Member Data Documentation

dt_

Time dt_

protected

Definition at line 59 of file modifiedcraigsneydscheme.hpp.

theta_

const Real theta_

protected

Definition at line 60 of file modifiedcraigsneydscheme.hpp.

mu_

const Real mu_

protected

Definition at line 61 of file modifiedcraigsneydscheme.hpp.

map_

const ext::shared_ptr<FdmLinearOpComposite> map_

protected

Definition at line 62 of file modifiedcraigsneydscheme.hpp.

bcSet_

const BoundaryConditionSchemeHelper bcSet_

protected

Definition at line 63 of file modifiedcraigsneydscheme.hpp.