MixedScheme< Operator > − Mixed (explicit/implicit) scheme for finite difference methods.
#include <ql/methods/finitedifferences/mixedscheme.hpp>
Inherited by CrankNicolson< Operator >, ExplicitEuler< Operator >, and ImplicitEuler< Operator >.
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
MixedScheme (const operator_type &L, Real theta, const bc_set &bcs)
void step (array_type &a, Time t)
void setStep (Time dt)
Protected Attributes
operator_type L_
operator_type I_
operator_type explicitPart_
operator_type implicitPart_
Time dt_
Real theta_
bc_set bcs_
template<class Operator>
class QuantLib::MixedScheme< Operator >" Mixed (explicit/implicit) scheme for finite difference methods.
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.
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