3 #ifndef __cflGaussRollback_hpp__ 4 #define __cflGaussRollback_hpp__ 96 void assign(
unsigned iSize,
double dH,
double dVar);
110 namespace NGaussRollback
224 #include "cfl/Inline/iGaussRollback.hpp" 225 #endif // of __cflGaussRollback_hpp__ const int c_iImprovedExplicitSteps
Definition: GaussRollback.hpp:188
virtual void rollback(std::valarray< double > &rValues) const =0
Interface class for the operator of conditional expectation with respect to gaussian distribution...
Definition: GaussRollback.hpp:36
virtual ~IGaussRollback()
Definition: GaussRollback.hpp:42
Concrete class for the operator of conditional expectation with respect to gaussian distribution...
Definition: GaussRollback.hpp:77
Concrete class for a one-dimensional function.
Definition: Function.hpp:78
GaussRollback implicit(double dVarStepCoeff=c_dImplicitVarStepCoeff)
const int c_iImprovedImplicitSteps
Definition: GaussRollback.hpp:196
GaussRollback crankNicolson(double dVarStepCoeff=c_dCrankNicolsonVarStepCoeff)
const double c_dImplicitVarStepCoeff
Definition: GaussRollback.hpp:142
GaussRollback improved(const GaussRollback &rFast=crankNicolson(), const Function &rUniformSteps=Function(c_iImprovedExplicitSteps), const Function &rImplicitSteps=Function(c_iImprovedImplicitSteps))
Main namespace for cfl library.
Definition: Approx.hpp:22
virtual IGaussRollback * newObject(unsigned iSize, double dH, double dVar) const =0
const double c_dCrankNicolsonVarStepCoeff
Definition: GaussRollback.hpp:169
One-dimensional function object in cfl library.