- QuantLib
- ModifiedCraigSneydScheme
 
modified Craig-Sneyd scheme More...
#include <ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp>
| Public Types | |
| typedef OperatorTraits < FdmLinearOp > | 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 | |
| ModifiedCraigSneydScheme (Real theta, Real mu, const boost::shared_ptr< FdmLinearOpComposite > &map, const std::vector< boost::shared_ptr< FdmDirichletBoundary > > &bc_set=std::vector< boost::shared_ptr< FdmDirichletBoundary > >()) | |
| void | step (array_type &a, Time t) | 
| void | setStep (Time dt) | 
| Protected Attributes | |
| Time | dt_ | 
| const Real | theta_ | 
| const Real | mu_ | 
| const boost::shared_ptr < FdmLinearOpComposite > & | map_ | 
| const std::vector < boost::shared_ptr < FdmDirichletBoundary > > | bcSet_ | 
modified Craig-Sneyd scheme
References: K. J. in ’t Hout and S. Foulon, ADI finite difference schemes for option pricing in the Heston model with correlation, http://arxiv.org/pdf/0811.3427