FdmOrnsteinUhlenbeckOp Class Reference

#include <ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.hpp>

Inheritance diagram for FdmOrnsteinUhlenbeckOp:

Collaboration diagram for FdmOrnsteinUhlenbeckOp:

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

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.