#include <fdmhestonop.hpp>

Inheritance diagram for FdmHestonOp:

Collaboration diagram for FdmHestonOp:

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< 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 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`
	)