/usr/include/ql/methods/finitedifferences/cranknicolson.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file cranknicolson.hpp
\brief Crank-Nicolson scheme for finite difference methods
*/
#ifndef quantlib_crank_nicolson_hpp
#define quantlib_crank_nicolson_hpp
#include <ql/methods/finitedifferences/mixedscheme.hpp>
namespace QuantLib {
//! Crank-Nicolson scheme for finite difference methods
/*! In this implementation, the passed operator must be derived
from either TimeConstantOperator or TimeDependentOperator.
Also, it must implement at least the following interface:
\code
typedef ... array_type;
// copy constructor/assignment
// (these will be provided by the compiler if none is defined)
Operator(const Operator&);
Operator& operator=(const Operator&);
// inspectors
Size size();
// modifiers
void setTime(Time t);
// operator interface
array_type applyTo(const array_type&);
array_type solveFor(const array_type&);
static Operator identity(Size size);
// operator algebra
Operator operator*(Real, const Operator&);
Operator operator+(const Operator&, const Operator&);
Operator operator+(const Operator&, const Operator&);
\endcode
\warning The differential operator must be linear for
this evolver to work.
\ingroup findiff
*/
template <class Operator>
class CrankNicolson : public MixedScheme<Operator> {
public:
// typedefs
typedef OperatorTraits<Operator> traits;
typedef typename traits::operator_type operator_type;
typedef typename traits::array_type array_type;
typedef typename traits::bc_set bc_set;
typedef typename traits::condition_type condition_type;
// constructors
CrankNicolson(const operator_type& L,
const bc_set& bcs)
: MixedScheme<Operator>(L, 0.5, bcs) {}
};
}
#endif
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