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fully annotated source code - version 1.34
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Public Member Functions | Private Member Functions | Private Attributes | List of all members
FdmExtOUJumpOp Class Reference

#include <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< SparseMatrixtoMatrixDecomp () 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< SparseMatrixtoMatrixDecomp () 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< FdmMeshermesher_
 
const ext::shared_ptr< ExtOUWithJumpsProcessprocess_
 
const ext::shared_ptr< YieldTermStructurerTS_
 
const FdmBoundaryConditionSet bcSet_
 
GaussLaguerreIntegration gaussLaguerreIntegration_
 
const Array x_
 
const ext::shared_ptr< FdmExtendedOrnsteinUhlenbeckOpouOp_
 
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.