FdmSabrOp Class Reference

#include <fdmsabrop.hpp>

Inheritance diagram for FdmSabrOp:

Collaboration diagram for FdmSabrOp:

Public Member Functions
	FdmSabrOp (const ext::shared_ptr< FdmMesher > &mesher, ext::shared_ptr< YieldTermStructure > rTS, Real f0, Real alpha, Real beta, Real nu, Real rho)
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
const ext::shared_ptr< YieldTermStructure >	rTS_
const TripleBandLinearOp	dffMap_
const TripleBandLinearOp	dxMap_
const TripleBandLinearOp	dxxMap_
const NinePointLinearOp	correlationMap_
TripleBandLinearOp	mapF_
TripleBandLinearOp	mapA_

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

Definition at line 45 of file fdmsabrop.hpp.

Constructor & Destructor Documentation

FdmSabrOp()

FdmSabrOp	(	const ext::shared_ptr< FdmMesher > &	mesher,
		ext::shared_ptr< YieldTermStructure >	rTS,
		Real	f0,
		Real	alpha,
		Real	beta,
		Real	nu,
		Real	rho
	)

Definition at line 34 of file fdmsabrop.cpp.

Member Function Documentation

size()

Size size ( ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 58 of file fdmsabrop.cpp.

setTime()

void setTime ( Time  t1, Time  t2  )

overridevirtual

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

Implements FdmLinearOpComposite.

Definition at line 51 of file fdmsabrop.cpp.

Here is the call graph for this function:

apply()

Array apply ( const Array &  r ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 62 of file fdmsabrop.cpp.

Here is the call graph for this function:

apply_mixed()

Array apply_mixed ( const Array &  r ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 66 of file fdmsabrop.cpp.

Here is the call graph for this function:

apply_direction()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 70 of file fdmsabrop.cpp.

Here is the call graph for this function:

solve_splitting()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 80 of file fdmsabrop.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

preconditioner()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 93 of file fdmsabrop.cpp.

Here is the call graph for this function:

toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const

overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 99 of file fdmsabrop.cpp.

Here is the call graph for this function:

Member Data Documentation

rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

private

Definition at line 67 of file fdmsabrop.hpp.

dffMap_

const TripleBandLinearOp dffMap_

private

Definition at line 69 of file fdmsabrop.hpp.

dxMap_

const TripleBandLinearOp dxMap_

private

Definition at line 70 of file fdmsabrop.hpp.

dxxMap_

const TripleBandLinearOp dxxMap_

private

Definition at line 70 of file fdmsabrop.hpp.

correlationMap_

const NinePointLinearOp correlationMap_

private

Definition at line 71 of file fdmsabrop.hpp.

mapF_

TripleBandLinearOp mapF_

private

Definition at line 73 of file fdmsabrop.hpp.

mapA_

TripleBandLinearOp mapA_

private

Definition at line 73 of file fdmsabrop.hpp.