QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdmlocalvolfwdop.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2015 Johannes Göttker-Schnetmann
5 Copyright (C) 2015 Klaus Spanderen
6
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file fdmlocalvolfwdop.hpp
23 \brief local volatility linear operator for the Fokker-Planck forward equation
24*/
25
26#ifndef quantlib_fdm_local_vol_fwd_op_hpp
27#define quantlib_fdm_local_vol_fwd_op_hpp
28
33
34namespace QuantLib {
35
37 public:
38 FdmLocalVolFwdOp(const ext::shared_ptr<FdmMesher>& mesher,
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,
43 Size direction = 0);
44
45 Size size() const override;
46 void setTime(Time t1, Time t2) override;
47
48 Array apply(const Array& r) const override;
49 Array apply_mixed(const Array& r) const override;
50 Array apply_direction(Size direction, const Array& r) const override;
51 Array solve_splitting(Size direction, const Array& r, Real s) const override;
52 Array preconditioner(const Array& r, Real s) const override;
53
54 std::vector<SparseMatrix> toMatrixDecomp() const override;
55
56 private:
57 const ext::shared_ptr<FdmMesher> mesher_;
58 const ext::shared_ptr<YieldTermStructure> rTS_, qTS_;
59 const ext::shared_ptr<LocalVolTermStructure> localVol_;
60 const Array x_;
65 };
66}
67
68#endif
Black-Scholes processes.
1-D array used in linear algebra.
Definition: array.hpp:52
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_
composite pattern for linear operators
first derivative linear operator
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
ext::shared_ptr< YieldTermStructure > r
general triple band linear operator