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: