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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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#include <cranknicolsonscheme.hpp>
Collaboration diagram for CrankNicolsonScheme: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 | |
| CrankNicolsonScheme (Real theta, const ext::shared_ptr< FdmLinearOpComposite > &map, const bc_set &bcSet=bc_set(), Real relTol=1e-8, ImplicitEulerScheme::SolverType solverType=ImplicitEulerScheme::BiCGstab) | |
| void | step (array_type &a, Time t) |
| void | setStep (Time dt) |
| Size | numberOfIterations () const |
Protected Attributes | |
| Real | dt_ |
| const Real | theta_ |
| const ext::shared_ptr< ExplicitEulerScheme > | explicit_ |
| const ext::shared_ptr< ImplicitEulerScheme > | implicit_ |
Definition at line 37 of file cranknicolsonscheme.hpp.
| typedef OperatorTraits<FdmLinearOp> traits |
Definition at line 40 of file cranknicolsonscheme.hpp.
| typedef traits::operator_type operator_type |
Definition at line 41 of file cranknicolsonscheme.hpp.
| typedef traits::array_type array_type |
Definition at line 42 of file cranknicolsonscheme.hpp.
| typedef traits::bc_set bc_set |
Definition at line 43 of file cranknicolsonscheme.hpp.
| typedef traits::condition_type condition_type |
Definition at line 44 of file cranknicolsonscheme.hpp.
| CrankNicolsonScheme | ( | Real | theta, |
| const ext::shared_ptr< FdmLinearOpComposite > & | map, | ||
| const bc_set & | bcSet = bc_set(), |
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| Real | relTol = 1e-8, |
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| ImplicitEulerScheme::SolverType | solverType = ImplicitEulerScheme::BiCGstab |
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| ) |
Definition at line 24 of file cranknicolsonscheme.cpp.
| void step | ( | array_type & | a, |
| Time | t | ||
| ) |
Definition at line 37 of file cranknicolsonscheme.cpp.
| void setStep | ( | Time | dt | ) |
Definition at line 47 of file cranknicolsonscheme.cpp.
| Size numberOfIterations | ( | ) | const |
Definition at line 53 of file cranknicolsonscheme.cpp.
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Definition at line 60 of file cranknicolsonscheme.hpp.
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Definition at line 61 of file cranknicolsonscheme.hpp.
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Definition at line 62 of file cranknicolsonscheme.hpp.
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Definition at line 63 of file cranknicolsonscheme.hpp.