23#ifndef quantlib_fdm_2_dim_solver_hpp
24#define quantlib_fdm_2_dim_solver_hpp
26#include <ql/handle.hpp>
27#include <ql/math/matrix.hpp>
28#include <ql/patterns/lazyobject.hpp>
29#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
30#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
36 class FdmSnapshotCondition;
42 ext::shared_ptr<FdmLinearOpComposite> op);
59 const ext::shared_ptr<FdmLinearOpComposite>
op_;
void performCalculations() const override
std::vector< Real > initialValues_
Real derivativeXX(Real x, Real y) const
Real interpolateAt(Real x, Real y) const
const ext::shared_ptr< FdmStepConditionComposite > conditions_
const ext::shared_ptr< FdmSnapshotCondition > thetaCondition_
ext::shared_ptr< BicubicSpline > interpolation_
Real thetaAt(Real x, Real y) const
const FdmSolverDesc solverDesc_
Real derivativeY(Real x, Real y) const
Real derivativeX(Real x, Real y) const
Real derivativeXY(Real x, Real y) const
Real derivativeYY(Real x, Real y) const
const ext::shared_ptr< FdmLinearOpComposite > op_
const FdmSchemeDesc schemeDesc_
Framework for calculation on demand and result caching.
Matrix used in linear algebra.