ImplicitEuler Class Template Reference
[Finite-differences framework]

#include <ql/FiniteDifferences/impliciteuler.hpp>

Inheritance diagram for ImplicitEuler:

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Detailed Description

template<class Operator>
class QuantLib::ImplicitEuler< Operator >

Backward Euler scheme for finite difference methods.

See sect. Finite-differences framework for details on the method.

In this implementation, the passed operator must be derived from either TimeConstantOperator or TimeDependentOperator. Also, it must implement at least the following interface:

typedef ... arrayType; // 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 arrayType solveFor(const arrayType&); static Operator identity(Size size); // operator algebra Operator operator*(Real, const Operator&); Operator operator+(const Operator&, const Operator&);


Friends

class FiniteDifferenceModel< ImplicitEuler< Operator > >


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