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_ |
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