#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>

Inheritance diagram for FdmLinearOpComposite:

Collaboration diagram for FdmLinearOpComposite:

Public Member Functions
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

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

Definition at line 35 of file fdmlinearopcomposite.hpp.

Member Function Documentation

◆ size()

virtual Size size ( ) const

pure virtual

◆ setTime()

virtual void setTime	(	Time	t1,
		Time	t2
	)

pure virtual

Time \(t1 <= t2\) is required.

Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, Fdm2dBlackScholesOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, and FdmSquareRootFwdOp.

◆ apply_mixed()

virtual Array apply_mixed ( const Array & r ) const

pure virtual

◆ apply_direction()

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

pure virtual

◆ solve_splitting()

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

pure virtual

◆ preconditioner()

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

pure virtual

◆ toMatrixDecomp()

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

virtual

Reimplemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, Fdm2dBlackScholesOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, and FdmSquareRootFwdOp.

Definition at line 48 of file fdmlinearopcomposite.hpp.

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◆ toMatrix()

SparseMatrix toMatrix ( ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 52 of file fdmlinearopcomposite.hpp.

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Public Member Functions

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ size()

◆ setTime()

◆ apply_mixed()

◆ apply_direction()

◆ solve_splitting()

◆ preconditioner()

◆ toMatrixDecomp()

◆ toMatrix()