QuantLib: TRBDF2< Operator > Class Template Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Types | Public Member Functions | List of all members
TRBDF2< Operator > Class Template Reference
Finite-differences framework

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)

## Detailed Description

### template<class Operator>
class QuantLib::TRBDF2< Operator >

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&);

Warning:
  The differential operator must be linear for this evolver to work.