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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 <fdmbackwardsolver.hpp>
Collaboration diagram for FdmSchemeDesc:Public Types | |
| enum | FdmSchemeType { HundsdorferType , DouglasType , CraigSneydType , ModifiedCraigSneydType , ImplicitEulerType , ExplicitEulerType , MethodOfLinesType , TrBDF2Type , CrankNicolsonType } |
Public Member Functions | |
| FdmSchemeDesc (FdmSchemeType type, Real theta, Real mu) | |
Static Public Member Functions | |
| static FdmSchemeDesc | Douglas () |
| static FdmSchemeDesc | CrankNicolson () |
| static FdmSchemeDesc | ImplicitEuler () |
| static FdmSchemeDesc | ExplicitEuler () |
| static FdmSchemeDesc | CraigSneyd () |
| static FdmSchemeDesc | ModifiedCraigSneyd () |
| static FdmSchemeDesc | Hundsdorfer () |
| static FdmSchemeDesc | ModifiedHundsdorfer () |
| static FdmSchemeDesc | MethodOfLines (Real eps=0.001, Real relInitStepSize=0.01) |
| static FdmSchemeDesc | TrBDF2 () |
Public Attributes | |
| const FdmSchemeType | type |
| const Real | theta |
| const Real | mu |
Definition at line 35 of file fdmbackwardsolver.hpp.
| enum FdmSchemeType |
| Enumerator | |
|---|---|
| HundsdorferType | |
| DouglasType | |
| CraigSneydType | |
| ModifiedCraigSneydType | |
| ImplicitEulerType | |
| ExplicitEulerType | |
| MethodOfLinesType | |
| TrBDF2Type | |
| CrankNicolsonType | |
Definition at line 36 of file fdmbackwardsolver.hpp.
| FdmSchemeDesc | ( | FdmSchemeType | type, |
| Real | theta, | ||
| Real | mu | ||
| ) |
Definition at line 43 of file fdmbackwardsolver.cpp.
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Definition at line 48 of file fdmbackwardsolver.cpp.
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Definition at line 66 of file fdmbackwardsolver.cpp.
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Definition at line 54 of file fdmbackwardsolver.cpp.
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Definition at line 58 of file fdmbackwardsolver.cpp.
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Definition at line 62 of file fdmbackwardsolver.cpp.
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Definition at line 74 of file fdmbackwardsolver.cpp.
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Definition at line 78 of file fdmbackwardsolver.cpp.
| const FdmSchemeType type |
Definition at line 44 of file fdmbackwardsolver.hpp.
| const Real theta |
Definition at line 45 of file fdmbackwardsolver.hpp.
| const Real mu |
Definition at line 45 of file fdmbackwardsolver.hpp.