#include <ql/FiniteDifferences/expliciteuler.hpp>
Inheritance diagram for ExplicitEuler:
[legend]List of all members.
Detailed Description
template<class Operator>
class QuantLib::ExplicitEuler< Operator >
Forward 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;
Operator( const Operator&);
Operator& operator=( const Operator&);
Size size();
void setTime(Time t);
arrayType applyTo( const arrayType&);
static Operator identity(Size size);
Operator operator*(Real, const Operator&);
Operator operator-( const Operator&, const Operator&);
- Todo:
- add Richardson extrapolation
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Friends |
class | FiniteDifferenceModel< ExplicitEuler< Operator > > |
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