#include <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()
|
pure virtual |
Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, Fdm2dBlackScholesOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, and FdmSquareRootFwdOp.
◆ setTime()
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()
Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, FdmSquareRootFwdOp, and Fdm2dBlackScholesOp.
◆ apply_direction()
Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, FdmSquareRootFwdOp, and Fdm2dBlackScholesOp.
◆ solve_splitting()
Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, FdmSquareRootFwdOp, and Fdm2dBlackScholesOp.
◆ preconditioner()
Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, Fdm2dBlackScholesOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, and FdmSquareRootFwdOp.
◆ toMatrixDecomp()
|
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.
Here is the caller graph for this function:
◆ toMatrix()
|
overridevirtual |
Implements FdmLinearOp.
Definition at line 52 of file fdmlinearopcomposite.hpp.
Here is the call graph for this function:
Here is the caller graph for this function: