#include <fdmcirop.hpp>
Inheritance diagram for FdmCIROp:
Collaboration diagram for FdmCIROp:
Public Member Functions | |
| FdmCIROp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< CoxIngersollRossProcess > &cirProcess, const ext::shared_ptr< GeneralizedBlackScholesProcess > &bsProcess, Real rho, Real strike) | |
| Size | size () const override |
| void | setTime (Time t1, Time t2) override |
| Time \(t1 <= t2\) is required. More... | |
| 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< SparseMatrix > | toMatrixDecomp () const override |
| Public Member Functions inherited from FdmLinearOpComposite | |
| virtual Size | size () const =0 |
| virtual void | setTime (Time t1, Time t2)=0 |
| Time \(t1 <= t2\) is required. More... | |
| virtual Array | apply_mixed (const Array &r) const =0 |
| virtual Array | apply_direction (Size direction, const Array &r) const =0 |
| virtual Array | solve_splitting (Size direction, const Array &r, Real s) const =0 |
| virtual Array | preconditioner (const Array &r, Real s) const =0 |
| virtual std::vector< SparseMatrix > | toMatrixDecomp () const |
| SparseMatrix | toMatrix () const override |
| Public Member Functions inherited from FdmLinearOp | |
| virtual | ~FdmLinearOp ()=default |
| virtual array_type | apply (const array_type &r) const =0 |
| virtual SparseMatrix | toMatrix () const =0 |
Private Attributes | |
| FdmCIREquityPart | dxMap_ |
| FdmCIRRatesPart | dyMap_ |
| FdmCIRMixedPart | dzMap_ |
Additional Inherited Members | |
| Public Types inherited from FdmLinearOp | |
| typedef Array | array_type |
Detailed Description
Definition at line 96 of file fdmcirop.hpp.
Constructor & Destructor Documentation
◆ FdmCIROp()
| FdmCIROp | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
| const ext::shared_ptr< CoxIngersollRossProcess > & | cirProcess, | ||
| const ext::shared_ptr< GeneralizedBlackScholesProcess > & | bsProcess, | ||
| Real | rho, | ||
| Real | strike | ||
| ) |
Definition at line 98 of file fdmcirop.cpp.
Member Function Documentation
◆ size()
|
overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 125 of file fdmcirop.cpp.
◆ setTime()
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 119 of file fdmcirop.cpp.
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◆ apply()
Implements FdmLinearOp.
Definition at line 129 of file fdmcirop.cpp.
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◆ apply_mixed()
Implements FdmLinearOpComposite.
Definition at line 147 of file fdmcirop.cpp.
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◆ apply_direction()
Implements FdmLinearOpComposite.
Definition at line 137 of file fdmcirop.cpp.
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◆ solve_splitting()
Implements FdmLinearOpComposite.
Definition at line 151 of file fdmcirop.cpp.
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◆ preconditioner()
Implements FdmLinearOpComposite.
Definition at line 163 of file fdmcirop.cpp.
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◆ toMatrixDecomp()
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overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 167 of file fdmcirop.cpp.
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Member Data Documentation
◆ dxMap_
|
private |
Definition at line 117 of file fdmcirop.hpp.
◆ dyMap_
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private |
Definition at line 118 of file fdmcirop.hpp.
◆ dzMap_
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private |
Definition at line 119 of file fdmcirop.hpp.