23#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>
24#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
25#include <ql/math/functional.hpp>
26#include <ql/math/interpolations/linearinterpolation.hpp>
27#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>
28#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
29#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
30#include <ql/termstructures/yieldtermstructure.hpp>
36 const ext::shared_ptr<FdmMesher>& mesher,
37 ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> process,
38 ext::shared_ptr<YieldTermStructure> rTS,
41 : mesher_(mesher), process_(
std::move(process)), rTS_(
std::move(rTS)), bcSet_(
std::move(bcSet)),
42 direction_(direction), x_(mesher->locations(direction)), dxMap_(direction, mesher),
44 .mult(0.5 *
squared(process_->volatility()) *
45 Array(mesher->layout()->size(), 1.))),
46 mapX_(direction, mesher) {}
49 return mesher_->layout()->dim().size();;
56 for (
const auto& iter : *
mesher_->layout()) {
57 const Size i = iter.index();
58 drift[i] =
process_->drift(0.5*(t1+t2),
x_[i]);
68 return Array(r.size(), 0.0);
77 return Array(r.size(), 0.0);
1-D array used in linear algebra.
Size size() const override
Array apply_direction(Size direction, const Array &r) const override
Array preconditioner(const Array &r, Real s) const override
std::vector< SparseMatrix > toMatrixDecomp() const override
const TripleBandLinearOp dxxMap_
void setTime(Time t1, Time t2) override
Time is required.
FdmExtendedOrnsteinUhlenbeckOp(const ext::shared_ptr< FdmMesher > &mesher, ext::shared_ptr< ExtendedOrnsteinUhlenbeckProcess > p, ext::shared_ptr< YieldTermStructure > rTS, FdmBoundaryConditionSet bcSet, Size direction=0)
Array apply_mixed(const Array &r) const override
const FirstDerivativeOp dxMap_
const ext::shared_ptr< FdmMesher > mesher_
Array solve_splitting(Size direction, const Array &r, Real s) const override
const ext::shared_ptr< YieldTermStructure > rTS_
Array apply(const Array &r) const override
const ext::shared_ptr< ExtendedOrnsteinUhlenbeckProcess > process_
SparseMatrix toMatrix() const override
Array solve_splitting(const Array &r, Real a, Real b=1.0) const
void axpyb(const Array &a, const TripleBandLinearOp &x, const TripleBandLinearOp &y, const Array &b)
Array apply(const Array &r) const override
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container
OperatorTraits< FdmLinearOp >::bc_set FdmBoundaryConditionSet