Inheritance diagram for FdmLocalVolFwdOp:

Collaboration diagram for FdmLocalVolFwdOp:

Public Member Functions
	FdmLocalVolFwdOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< Quote > &spot, ext::shared_ptr< YieldTermStructure > rTS, ext::shared_ptr< YieldTermStructure > qTS, const ext::shared_ptr< LocalVolTermStructure > &localVol, Size direction=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
const ext::shared_ptr< FdmMesher >	mesher_

const ext::shared_ptr< YieldTermStructure >	rTS_

const ext::shared_ptr< YieldTermStructure >	qTS_

const ext::shared_ptr< LocalVolTermStructure >	localVol_

const Array	x_

const FirstDerivativeOp	dxMap_

const TripleBandLinearOp	dxxMap_

TripleBandLinearOp	mapT_

const Size	direction_

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

Definition at line 36 of file fdmlocalvolfwdop.hpp.

Constructor & Destructor Documentation

FdmLocalVolFwdOp	(	const ext::shared_ptr< FdmMesher > &	mesher,
		const ext::shared_ptr< Quote > &	spot,
		ext::shared_ptr< YieldTermStructure >	rTS,
		ext::shared_ptr< YieldTermStructure >	qTS,
		const ext::shared_ptr< LocalVolTermStructure > &	localVol,
		Size	direction = `0`
	)