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fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
FdmOrnsteinUhlenbeckOp Class Reference

#include <fdmornsteinuhlenbeckop.hpp>

+ Inheritance diagram for FdmOrnsteinUhlenbeckOp:
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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< SparseMatrixtoMatrixDecomp () 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< SparseMatrixtoMatrixDecomp () 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< FdmMeshermesher_
 
const ext::shared_ptr< OrnsteinUhlenbeckProcessprocess_
 
const ext::shared_ptr< YieldTermStructurerTS_
 
const Size direction_
 
TripleBandLinearOp m_
 
TripleBandLinearOp mapX_
 

Additional Inherited Members

- Public Types inherited from FdmLinearOp
typedef Array array_type
 

Detailed Description

Definition at line 39 of file fdmornsteinuhlenbeckop.hpp.

Constructor & Destructor Documentation

◆ FdmOrnsteinUhlenbeckOp()

FdmOrnsteinUhlenbeckOp ( const ext::shared_ptr< FdmMesher > &  mesher,
ext::shared_ptr< OrnsteinUhlenbeckProcess p,
ext::shared_ptr< YieldTermStructure rTS,
Size  direction = 0 
)

Definition at line 34 of file fdmornsteinuhlenbeckop.cpp.

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Member Function Documentation

◆ size()

Size size ( ) const
overridevirtual

Implements FdmLinearOpComposite.

Definition at line 56 of file fdmornsteinuhlenbeckop.cpp.

◆ setTime()

void setTime ( Time  t1,
Time  t2 
)
overridevirtual

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

Implements FdmLinearOpComposite.

Definition at line 60 of file fdmornsteinuhlenbeckop.cpp.

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◆ apply()

Array apply ( const Array r) const
overridevirtual

Implements FdmLinearOp.

Definition at line 66 of file fdmornsteinuhlenbeckop.cpp.

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◆ apply_mixed()

Array apply_mixed ( const Array r) const
overridevirtual

Implements FdmLinearOpComposite.

Definition at line 70 of file fdmornsteinuhlenbeckop.cpp.

◆ apply_direction()

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

Implements FdmLinearOpComposite.

Definition at line 74 of file fdmornsteinuhlenbeckop.cpp.

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◆ solve_splitting()

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

Implements FdmLinearOpComposite.

Definition at line 83 of file fdmornsteinuhlenbeckop.cpp.

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◆ preconditioner()

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

Implements FdmLinearOpComposite.

Definition at line 92 of file fdmornsteinuhlenbeckop.cpp.

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◆ toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const
overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 96 of file fdmornsteinuhlenbeckop.cpp.

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Member Data Documentation

◆ mesher_

const ext::shared_ptr<FdmMesher> mesher_
private

Definition at line 59 of file fdmornsteinuhlenbeckop.hpp.

◆ process_

const ext::shared_ptr<OrnsteinUhlenbeckProcess> process_
private

Definition at line 60 of file fdmornsteinuhlenbeckop.hpp.

◆ rTS_

const ext::shared_ptr<YieldTermStructure> rTS_
private

Definition at line 61 of file fdmornsteinuhlenbeckop.hpp.

◆ direction_

const Size direction_
private

Definition at line 62 of file fdmornsteinuhlenbeckop.hpp.

◆ m_

TripleBandLinearOp m_
private

Definition at line 64 of file fdmornsteinuhlenbeckop.hpp.

◆ mapX_

TripleBandLinearOp mapX_
private

Definition at line 64 of file fdmornsteinuhlenbeckop.hpp.