QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmornsteinuhlenbeckop.hpp>
Public Member Functions | |
FdmOrnsteinUhlenbeckOp (const ext::shared_ptr< FdmMesher > &mesher, ext::shared_ptr< OrnsteinUhlenbeckProcess > p, ext::shared_ptr< YieldTermStructure > rTS, 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< OrnsteinUhlenbeckProcess > | process_ |
const ext::shared_ptr< YieldTermStructure > | rTS_ |
const Size | direction_ |
TripleBandLinearOp | m_ |
TripleBandLinearOp | mapX_ |
Additional Inherited Members | |
Public Types inherited from FdmLinearOp | |
typedef Array | array_type |
Definition at line 39 of file fdmornsteinuhlenbeckop.hpp.
FdmOrnsteinUhlenbeckOp | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
ext::shared_ptr< OrnsteinUhlenbeckProcess > | p, | ||
ext::shared_ptr< YieldTermStructure > | rTS, | ||
Size | direction = 0 |
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overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 56 of file fdmornsteinuhlenbeckop.cpp.
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 60 of file fdmornsteinuhlenbeckop.cpp.
Implements FdmLinearOp.
Definition at line 66 of file fdmornsteinuhlenbeckop.cpp.
Implements FdmLinearOpComposite.
Definition at line 70 of file fdmornsteinuhlenbeckop.cpp.
Implements FdmLinearOpComposite.
Definition at line 74 of file fdmornsteinuhlenbeckop.cpp.
Implements FdmLinearOpComposite.
Definition at line 83 of file fdmornsteinuhlenbeckop.cpp.
Implements FdmLinearOpComposite.
Definition at line 92 of file fdmornsteinuhlenbeckop.cpp.
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overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 96 of file fdmornsteinuhlenbeckop.cpp.
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private |
Definition at line 59 of file fdmornsteinuhlenbeckop.hpp.
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private |
Definition at line 60 of file fdmornsteinuhlenbeckop.hpp.
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private |
Definition at line 61 of file fdmornsteinuhlenbeckop.hpp.
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private |
Definition at line 62 of file fdmornsteinuhlenbeckop.hpp.
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private |
Definition at line 64 of file fdmornsteinuhlenbeckop.hpp.
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private |
Definition at line 64 of file fdmornsteinuhlenbeckop.hpp.