QuantLib: ql/methods/finitedifferences/schemes Directory Reference

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

schemes Directory Reference

## Files
file | boundaryconditionschemehelper.hpp
file | craigsneydscheme.hpp
| Craig-Sneyd operator splitting.
file | cranknicolsonscheme.hpp
| Crank-Nicolson scheme.
file | douglasscheme.hpp
| Douglas operator splitting.
file | expliciteulerscheme.hpp
| explicit-Euler scheme
file | hundsdorferscheme.hpp
| Hundsdorfer operator splitting.
file | impliciteulerscheme.hpp
| Implicit-Euler scheme.
file | methodoflinesscheme.hpp
| Method of Lines scheme.
file | modifiedcraigsneydscheme.hpp
| modified Craig-Sneyd operator splitting
file | trbdf2scheme.hpp
| trapezoidal BDF2 scheme