24#ifndef quantlib_fdm_sabr_op_hpp
25#define quantlib_fdm_sabr_op_hpp
27#include <ql/methods/finitedifferences/operators/ninepointlinearop.hpp>
28#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
29#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
43 class YieldTermStructure;
47 FdmSabrOp(
const ext::shared_ptr<FdmMesher>& mesher,
48 ext::shared_ptr<YieldTermStructure> rTS,
67 const ext::shared_ptr<YieldTermStructure>
rTS_;
1-D array used in linear algebra.
Size size() const override
const TripleBandLinearOp dxMap_
Array apply_direction(Size direction, const Array &r) const override
Array preconditioner(const Array &r, Real s) const override
std::vector< SparseMatrix > toMatrixDecomp() const override
const TripleBandLinearOp dxxMap_
void setTime(Time t1, Time t2) override
Time is required.
Array apply_mixed(const Array &r) const override
const TripleBandLinearOp dffMap_
Array solve_splitting(Size direction, const Array &r, Real s) const override
const ext::shared_ptr< YieldTermStructure > rTS_
Array apply(const Array &r) const override
const NinePointLinearOp correlationMap_
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container