26#ifndef quantlib_fdm_local_vol_fwd_op_hpp
27#define quantlib_fdm_local_vol_fwd_op_hpp
29#include <ql/processes/blackscholesprocess.hpp>
30#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
31#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
32#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
39 const ext::shared_ptr<Quote>& spot,
40 ext::shared_ptr<YieldTermStructure> rTS,
41 ext::shared_ptr<YieldTermStructure> qTS,
42 const ext::shared_ptr<LocalVolTermStructure>& localVol,
58 const ext::shared_ptr<YieldTermStructure>
rTS_,
qTS_;
59 const ext::shared_ptr<LocalVolTermStructure>
localVol_;
1-D array used in linear algebra.
Size size() const override
Array apply_direction(Size direction, const Array &r) const override
Array preconditioner(const Array &r, Real s) const override
std::vector< SparseMatrix > toMatrixDecomp() const override
const TripleBandLinearOp dxxMap_
void setTime(Time t1, Time t2) override
Time is required.
Array apply_mixed(const Array &r) const override
const ext::shared_ptr< YieldTermStructure > qTS_
const FirstDerivativeOp dxMap_
const ext::shared_ptr< FdmMesher > mesher_
Array solve_splitting(Size direction, const Array &r, Real s) const override
const ext::shared_ptr< YieldTermStructure > rTS_
Array apply(const Array &r) const override
const ext::shared_ptr< LocalVolTermStructure > localVol_
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container