QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Types | Public Member Functions | Protected Attributes | List of all members
ModifiedCraigSneydScheme Class Reference

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 bc_set &bcSet=bc_set())
 
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 BoundaryConditionSchemeHelper bcSet_
 

Detailed Description

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