QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmextoujumpop.hpp>
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 |
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.
FdmExtOUJumpOp | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
const ext::shared_ptr< ExtOUWithJumpsProcess > & | process, | ||
const ext::shared_ptr< YieldTermStructure > & | rTS, | ||
const FdmBoundaryConditionSet & | bcSet, | ||
Size | integroIntegrationOrder | ||
) |
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overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 104 of file fdmextoujumpop.cpp.
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 108 of file fdmextoujumpop.cpp.
Implements FdmLinearOp.
Definition at line 112 of file fdmextoujumpop.cpp.
Implements FdmLinearOpComposite.
Definition at line 116 of file fdmextoujumpop.cpp.
Implements FdmLinearOpComposite.
Definition at line 120 of file fdmextoujumpop.cpp.
Implements FdmLinearOpComposite.
Definition at line 131 of file fdmextoujumpop.cpp.
Implements FdmLinearOpComposite.
Definition at line 144 of file fdmextoujumpop.cpp.
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overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 152 of file fdmextoujumpop.cpp.
Definition at line 148 of file fdmextoujumpop.cpp.
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private |
Definition at line 68 of file fdmextoujumpop.hpp.
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Definition at line 69 of file fdmextoujumpop.hpp.
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private |
Definition at line 70 of file fdmextoujumpop.hpp.
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Definition at line 71 of file fdmextoujumpop.hpp.
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Definition at line 72 of file fdmextoujumpop.hpp.
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private |
Definition at line 74 of file fdmextoujumpop.hpp.
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private |
Definition at line 75 of file fdmextoujumpop.hpp.
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private |
Definition at line 77 of file fdmextoujumpop.hpp.
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private |
Definition at line 79 of file fdmextoujumpop.hpp.