FdmExtOUJumpOp Class Reference

#include <ql/experimental/finitedifferences/fdmextoujumpop.hpp>

Inheritance diagram for FdmExtOUJumpOp:

Collaboration diagram for FdmExtOUJumpOp:

Public Member Functions
	FdmExtOUJumpOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< ExtOUWithJumpsProcess > &process, const ext::shared_ptr< YieldTermStructure > &rTS, const FdmBoundaryConditionSet &bcSet, Size integroIntegrationOrder)
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 Member Functions
Array	integro (const Array &r) const

Private Attributes
const ext::shared_ptr< FdmMesher >	mesher_
const ext::shared_ptr< ExtOUWithJumpsProcess >	process_
const ext::shared_ptr< YieldTermStructure >	rTS_
const FdmBoundaryConditionSet	bcSet_
GaussLaguerreIntegration	gaussLaguerreIntegration_
const Array	x_
const ext::shared_ptr< FdmExtendedOrnsteinUhlenbeckOp >	ouOp_
const TripleBandLinearOp	dyMap_
SparseMatrix	integroPart_

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

References: Kluge, Timo L., 2008. Pricing Swing Options and other Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf

Definition at line 46 of file fdmextoujumpop.hpp.

Constructor & Destructor Documentation

FdmExtOUJumpOp()

FdmExtOUJumpOp	(	const ext::shared_ptr< FdmMesher > &	mesher,
		const ext::shared_ptr< ExtOUWithJumpsProcess > &	process,
		const ext::shared_ptr< YieldTermStructure > &	rTS,
		const FdmBoundaryConditionSet &	bcSet,
		Size	integroIntegrationOrder
	)

Definition at line 48 of file fdmextoujumpop.cpp.

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Member Function Documentation

size()

Size size ( ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 104 of file fdmextoujumpop.cpp.

setTime()

void setTime ( Time  t1, Time  t2  )

overridevirtual

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

Implements FdmLinearOpComposite.

Definition at line 108 of file fdmextoujumpop.cpp.

apply()

Array apply ( const Array &  r ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 112 of file fdmextoujumpop.cpp.

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apply_mixed()

Array apply_mixed ( const Array &  r ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 116 of file fdmextoujumpop.cpp.

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apply_direction()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 120 of file fdmextoujumpop.cpp.

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solve_splitting()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 131 of file fdmextoujumpop.cpp.

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preconditioner()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 144 of file fdmextoujumpop.cpp.

toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const

overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 152 of file fdmextoujumpop.cpp.

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integro()

Array integro ( const Array &  r ) const

private

Definition at line 148 of file fdmextoujumpop.cpp.

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Member Data Documentation

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 68 of file fdmextoujumpop.hpp.

process_

const ext::shared_ptr<ExtOUWithJumpsProcess> process_

private

Definition at line 69 of file fdmextoujumpop.hpp.

rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

private

Definition at line 70 of file fdmextoujumpop.hpp.

bcSet_

const FdmBoundaryConditionSet bcSet_

private

Definition at line 71 of file fdmextoujumpop.hpp.

gaussLaguerreIntegration_

GaussLaguerreIntegration gaussLaguerreIntegration_

private

Definition at line 72 of file fdmextoujumpop.hpp.

x_

const Array x_

private

Definition at line 74 of file fdmextoujumpop.hpp.

ouOp_

const ext::shared_ptr<FdmExtendedOrnsteinUhlenbeckOp> ouOp_

private

Definition at line 75 of file fdmextoujumpop.hpp.

dyMap_

const TripleBandLinearOp dyMap_

private

Definition at line 77 of file fdmextoujumpop.hpp.

integroPart_

SparseMatrix integroPart_

private

Definition at line 79 of file fdmextoujumpop.hpp.