- QuantLib
- TRBDF2
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) |
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&);