CrankNicolson Class Template Reference
[Finite-differences framework]

#include <ql/FiniteDifferences/cranknicolson.hpp>

Inheritance diagram for CrankNicolson:

Inheritance graph
[legend]
List of all members.

Detailed Description

template<class Operator>
class QuantLib::CrankNicolson< Operator >

Crank-Nicolson 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 applyTo(const arrayType&); arrayType solveFor(const arrayType&); 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.


Friends

class FiniteDifferenceModel< CrankNicolson< Operator > >


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