FdmHestonHullWhiteOp Class Reference

#include <fdmhestonhullwhiteop.hpp>

Inheritance diagram for FdmHestonHullWhiteOp:

Collaboration diagram for FdmHestonHullWhiteOp:

Public Member Functions
	FdmHestonHullWhiteOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< HestonProcess > &hestonProcess, const ext::shared_ptr< HullWhiteProcess > &hwProcess, Real equityShortRateCorrelation)
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 Real	v0_
const Real	kappa_
const Real	theta_
const Real	sigma_
const Real	rho_
const ext::shared_ptr< HullWhite >	hwModel_
NinePointLinearOp	hestonCorrMap_
NinePointLinearOp	equityIrCorrMap_
TripleBandLinearOp	dyMap_
FdmHestonHullWhiteEquityPart	dxMap_
FdmHullWhiteOp	hullWhiteOp_

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

Definition at line 62 of file fdmhestonhullwhiteop.hpp.

Constructor & Destructor Documentation

FdmHestonHullWhiteOp()

FdmHestonHullWhiteOp	(	const ext::shared_ptr< FdmMesher > &	mesher,
		const ext::shared_ptr< HestonProcess > &	hestonProcess,
		const ext::shared_ptr< HullWhiteProcess > &	hwProcess,
		Real	equityShortRateCorrelation
	)

Definition at line 69 of file fdmhestonhullwhiteop.cpp.

Member Function Documentation

size()

Size size ( ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 98 of file fdmhestonhullwhiteop.cpp.

setTime()

void setTime ( Time  t1, Time  t2  )

overridevirtual

Time \(t1 <= t2\) is required.

Implements FdmLinearOpComposite.

Definition at line 93 of file fdmhestonhullwhiteop.cpp.

Here is the call graph for this function:

apply()

Array apply ( const Array &  r ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 102 of file fdmhestonhullwhiteop.cpp.

Here is the call graph for this function:

apply_mixed()

Array apply_mixed ( const Array &  r ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 120 of file fdmhestonhullwhiteop.cpp.

Here is the call graph for this function:

apply_direction()

Array apply_direction ( Size  direction, const Array &  r  ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 108 of file fdmhestonhullwhiteop.cpp.

Here is the call graph for this function:

solve_splitting()

Array solve_splitting ( Size  direction, const Array &  r, Real  s  ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 124 of file fdmhestonhullwhiteop.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

preconditioner()

Array preconditioner ( const Array &  r, Real  s  ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 139 of file fdmhestonhullwhiteop.cpp.

Here is the call graph for this function:

toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const

overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 144 of file fdmhestonhullwhiteop.cpp.

Here is the call graph for this function:

Member Data Documentation

v0_

const Real v0_

private

Definition at line 83 of file fdmhestonhullwhiteop.hpp.

kappa_

const Real kappa_

private

Definition at line 83 of file fdmhestonhullwhiteop.hpp.

theta_

const Real theta_

private

Definition at line 83 of file fdmhestonhullwhiteop.hpp.

sigma_

const Real sigma_

private

Definition at line 83 of file fdmhestonhullwhiteop.hpp.

rho_

const Real rho_

private

Definition at line 83 of file fdmhestonhullwhiteop.hpp.

hwModel_

const ext::shared_ptr<HullWhite> hwModel_

private

Definition at line 84 of file fdmhestonhullwhiteop.hpp.

hestonCorrMap_

NinePointLinearOp hestonCorrMap_

private

Definition at line 86 of file fdmhestonhullwhiteop.hpp.

equityIrCorrMap_

NinePointLinearOp equityIrCorrMap_

private

Definition at line 87 of file fdmhestonhullwhiteop.hpp.

dyMap_

TripleBandLinearOp dyMap_

private

Definition at line 88 of file fdmhestonhullwhiteop.hpp.

dxMap_

FdmHestonHullWhiteEquityPart dxMap_

private

Definition at line 89 of file fdmhestonhullwhiteop.hpp.

hullWhiteOp_

FdmHullWhiteOp hullWhiteOp_

private

Definition at line 90 of file fdmhestonhullwhiteop.hpp.