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) |
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: