FdmLgmOp Class Reference

#include <qle/methods/fdmlgmop.hpp>

Inheritance diagram for FdmLgmOp:

Collaboration diagram for FdmLgmOp:

Public Member Functions
	FdmLgmOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< StochasticProcess1D > &process)
Size	size () const override
void	setTime (Time t1, Time t2) override
Array	apply (const Array &r) const override
Array	apply_mixed (const Array &r) const override
Array	apply_direction (Size direction, const Array &r) const override
Array	solve_splitting (Size direction, const Array &r, Real s) const override
Array	preconditioner (const Array &r, Real s) const override
std::vector< QuantLib::SparseMatrix >	toMatrixDecomp () const override

Private Attributes
ext::shared_ptr< FdmMesher >	mesher_
ext::shared_ptr< StochasticProcess1D >	process_
FirstDerivativeOp	dxMap_
TripleBandLinearOp	dxxMap_
TripleBandLinearOp	mapT_

Detailed Description

Definition at line 34 of file fdmlgmop.hpp.

Constructor & Destructor Documentation

FdmLgmOp()

FdmLgmOp	(	const ext::shared_ptr< FdmMesher > &	mesher,
		const ext::shared_ptr< StochasticProcess1D > &	process
	)

Definition at line 27 of file fdmlgmop.cpp.

    : mesher_(mesher), process_(process), dxMap_(FirstDerivativeOp(0, mesher)), dxxMap_(SecondDerivativeOp(0, mesher)),
      mapT_(0, mesher) {}

Member Function Documentation

size()

Size size ( ) const

override

Definition at line 36 of file fdmlgmop.cpp.

{ return 1u; }

setTime()

void setTime ( Time  t1, Time  t2  )

override

Definition at line 31 of file fdmlgmop.cpp.

                                       {
    Real v = process_->variance(t1, 0.0, t2 - t1) / (t2 - t1);
    mapT_.axpyb(Array(), dxMap_, dxxMap_.mult(0.5 * Array(mesher_->layout()->size(), v)), Array(1, 0));
}

apply()

Array apply ( const Array &  r ) const

override

Definition at line 38 of file fdmlgmop.cpp.

{ return mapT_.apply(u); }

apply_mixed()

Array apply_mixed ( const Array &  r ) const

override

Definition at line 49 of file fdmlgmop.cpp.

                                                {
    Array retVal(r.size(), 0.0);
    return retVal;
}

apply_direction()

Array apply_direction ( Size  direction, const Array &  r  ) const

override

Definition at line 40 of file fdmlgmop.cpp.

                                                                    {
    if (direction == 0)
        return mapT_.apply(r);
    else {
        Array retVal(r.size(), 0.0);
        return retVal;
    }
}

solve_splitting()

Array solve_splitting ( Size  direction, const Array &  r, Real  s  ) const

override

Definition at line 54 of file fdmlgmop.cpp.

                                                                             {
    if (direction == 0)
        return mapT_.solve_splitting(r, dt, 1.0);
    else {
        Array retVal(r);
        return retVal;
    }
}

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preconditioner()

Array preconditioner ( const Array &  r, Real  s  ) const

override

Definition at line 63 of file fdmlgmop.cpp.

{ return solve_splitting(0, r, dt); }

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toMatrixDecomp()

std::vector< QuantLib::SparseMatrix > toMatrixDecomp ( ) const

override

Definition at line 66 of file fdmlgmop.cpp.

                                                               {
    std::vector<QuantLib::SparseMatrix> retVal(1, mapT_.toMatrix());
    return retVal;
}

Member Data Documentation

mesher_

ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 51 of file fdmlgmop.hpp.

process_

ext::shared_ptr<StochasticProcess1D> process_

private

Definition at line 52 of file fdmlgmop.hpp.

dxMap_

FirstDerivativeOp dxMap_

private

Definition at line 53 of file fdmlgmop.hpp.

dxxMap_

TripleBandLinearOp dxxMap_

private

Definition at line 54 of file fdmlgmop.hpp.

mapT_

TripleBandLinearOp mapT_

private

Definition at line 55 of file fdmlgmop.hpp.