QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmg2op.hpp>
Public Member Functions | |
FdmG2Op (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< G2 > &model, Size direction1, Size direction2) | |
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 Size | direction1_ |
const Size | direction2_ |
const Array | x_ |
const Array | y_ |
const TripleBandLinearOp | dxMap_ |
const TripleBandLinearOp | dyMap_ |
NinePointLinearOp | corrMap_ |
TripleBandLinearOp | mapX_ |
TripleBandLinearOp | mapY_ |
const ext::shared_ptr< G2 > | model_ |
Additional Inherited Members | |
Public Types inherited from FdmLinearOp | |
typedef Array | array_type |
Definition at line 36 of file fdmg2op.hpp.
FdmG2Op | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
const ext::shared_ptr< G2 > & | model, | ||
Size | direction1, | ||
Size | direction2 | ||
) |
Definition at line 34 of file fdmg2op.cpp.
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overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 58 of file fdmg2op.cpp.
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 60 of file fdmg2op.cpp.
Implements FdmLinearOp.
Definition at line 73 of file fdmg2op.cpp.
Implements FdmLinearOpComposite.
Definition at line 77 of file fdmg2op.cpp.
Implements FdmLinearOpComposite.
Definition at line 81 of file fdmg2op.cpp.
Implements FdmLinearOpComposite.
Definition at line 93 of file fdmg2op.cpp.
Implements FdmLinearOpComposite.
Definition at line 105 of file fdmg2op.cpp.
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overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 109 of file fdmg2op.cpp.
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private |
Definition at line 56 of file fdmg2op.hpp.
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private |
Definition at line 56 of file fdmg2op.hpp.
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private |
Definition at line 57 of file fdmg2op.hpp.
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private |
Definition at line 57 of file fdmg2op.hpp.
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private |
Definition at line 58 of file fdmg2op.hpp.
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private |
Definition at line 58 of file fdmg2op.hpp.
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private |
Definition at line 60 of file fdmg2op.hpp.
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private |
Definition at line 61 of file fdmg2op.hpp.
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private |
Definition at line 61 of file fdmg2op.hpp.
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private |
Definition at line 63 of file fdmg2op.hpp.