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Public Member Functions | Private Attributes | List of all members
FdmHestonOp Class Reference

#include <ql/methods/finitedifferences/operators/fdmhestonop.hpp>

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Public Member Functions

 FdmHestonOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< HestonProcess > &hestonProcess, const ext::shared_ptr< FdmQuantoHelper > &quantoHelper=ext::shared_ptr< FdmQuantoHelper >(), const ext::shared_ptr< LocalVolTermStructure > &leverageFct=ext::shared_ptr< LocalVolTermStructure >(), Real mixingFactor=1.0)
 
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 Attributes

NinePointLinearOp correlationMap_
 
FdmHestonVariancePart dyMap_
 
FdmHestonEquityPart dxMap_
 

Additional Inherited Members

- Public Types inherited from FdmLinearOp
typedef Array array_type
 

Detailed Description

Definition at line 86 of file fdmhestonop.hpp.

Constructor & Destructor Documentation

◆ FdmHestonOp()

FdmHestonOp ( const ext::shared_ptr< FdmMesher > &  mesher,
const ext::shared_ptr< HestonProcess > &  hestonProcess,
const ext::shared_ptr< FdmQuantoHelper > &  quantoHelper = ext::shared_ptr<FdmQuantoHelper>(),
const ext::shared_ptr< LocalVolTermStructure > &  leverageFct = ext::shared_ptr<LocalVolTermStructure>(),
Real  mixingFactor = 1.0 
)

Definition at line 122 of file fdmhestonop.cpp.

Member Function Documentation

◆ size()

Size size ( ) const
overridevirtual

Implements FdmLinearOpComposite.

Definition at line 148 of file fdmhestonop.cpp.

◆ setTime()

void setTime ( Time  t1,
Time  t2 
)
overridevirtual

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

Implements FdmLinearOpComposite.

Definition at line 143 of file fdmhestonop.cpp.

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◆ apply()

Array apply ( const Array r) const
overridevirtual

Implements FdmLinearOp.

Definition at line 152 of file fdmhestonop.cpp.

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◆ apply_mixed()

Array apply_mixed ( const Array r) const
overridevirtual

Implements FdmLinearOpComposite.

Definition at line 167 of file fdmhestonop.cpp.

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◆ apply_direction()

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

Implements FdmLinearOpComposite.

Definition at line 157 of file fdmhestonop.cpp.

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◆ solve_splitting()

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

Implements FdmLinearOpComposite.

Definition at line 171 of file fdmhestonop.cpp.

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◆ preconditioner()

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

Implements FdmLinearOpComposite.

Definition at line 184 of file fdmhestonop.cpp.

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◆ toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const
overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 188 of file fdmhestonop.cpp.

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Member Data Documentation

◆ correlationMap_

NinePointLinearOp correlationMap_
private

Definition at line 109 of file fdmhestonop.hpp.

◆ dyMap_

FdmHestonVariancePart dyMap_
private

Definition at line 110 of file fdmhestonop.hpp.

◆ dxMap_

FdmHestonEquityPart dxMap_
private

Definition at line 111 of file fdmhestonop.hpp.