QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdmdupire1dop.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Peter Caspers
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file fdmdupire1dop.hpp
21 \brief Dupire local volatility pricing operator
22 Note that time is reversed in order to make backward solvers work
23*/
24
25#ifndef quantlib_fdm_dupire1d_op_hpp
26#define quantlib_fdm_dupire1d_op_hpp
27
32
33namespace QuantLib {
34
36 public:
37 FdmDupire1dOp(const ext::shared_ptr<FdmMesher> &mesher,
38 const Array &localVolatility);
39
40 Size size() const override;
41 void setTime(Time t1, Time t2) override;
42
43 Array apply(const Array& r) const override;
44 Array apply_mixed(const Array& r) const override;
45
46 Array apply_direction(Size direction, const Array& r) const override;
47 Array solve_splitting(Size direction, const Array& r, Real s) const override;
48 Array preconditioner(const Array& r, Real s) const override;
49
50 std::vector<SparseMatrix> toMatrixDecomp() const override;
51
52 private:
53 const ext::shared_ptr<FdmMesher> mesher_;
56};
57}
58
59#endif
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
void setTime(Time t1, Time t2) override
Time is required.
Array apply_mixed(const Array &r) const override
TripleBandLinearOp mapT_
const ext::shared_ptr< FdmMesher > mesher_
Array solve_splitting(Size direction, const Array &r, Real s) const override
Array apply(const Array &r) const override
composite pattern for linear operators
memory layout of a fdm linear operator
mesher for a fdm grid
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