#include <ql/methods/finitedifferences/operators/fdmblackscholesop.hpp>
Inheritance diagram for FdmBlackScholesOp:
Collaboration diagram for FdmBlackScholesOp:
Public Member Functions | |
| FdmBlackScholesOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real strike, bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), Size direction=0, ext::shared_ptr< FdmQuantoHelper > quantoHelper=ext::shared_ptr< FdmQuantoHelper >()) | |
| 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< YieldTermStructure > | rTS_ |
| const ext::shared_ptr< YieldTermStructure > | qTS_ |
| const ext::shared_ptr< BlackVolTermStructure > | volTS_ |
| const ext::shared_ptr< LocalVolTermStructure > | localVol_ |
| const Array | x_ |
| const FirstDerivativeOp | dxMap_ |
| const TripleBandLinearOp | dxxMap_ |
| TripleBandLinearOp | mapT_ |
| const Real | strike_ |
| const Real | illegalLocalVolOverwrite_ |
| const Size | direction_ |
| const ext::shared_ptr< FdmQuantoHelper > | quantoHelper_ |
Additional Inherited Members | |
| Public Types inherited from FdmLinearOp | |
| typedef Array | array_type |
Detailed Description
Definition at line 38 of file fdmblackscholesop.hpp.
Constructor & Destructor Documentation
◆ FdmBlackScholesOp()
| FdmBlackScholesOp | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
| const ext::shared_ptr< GeneralizedBlackScholesProcess > & | process, | ||
| Real | strike, | ||
| bool | localVol = false, |
||
| Real | illegalLocalVolOverwrite = -Null<Real>(), |
||
| Size | direction = 0, |
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| ext::shared_ptr< FdmQuantoHelper > | quantoHelper = ext::shared_ptr<FdmQuantoHelper>() |
||
| ) |
Definition at line 32 of file fdmblackscholesop.cpp.
Member Function Documentation
◆ size()
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overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 100 of file fdmblackscholesop.cpp.
◆ setTime()
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 51 of file fdmblackscholesop.cpp.
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◆ apply()
Implements FdmLinearOp.
Definition at line 102 of file fdmblackscholesop.cpp.
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◆ apply_mixed()
Implements FdmLinearOpComposite.
Definition at line 115 of file fdmblackscholesop.cpp.
◆ apply_direction()
Implements FdmLinearOpComposite.
Definition at line 106 of file fdmblackscholesop.cpp.
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◆ solve_splitting()
Implements FdmLinearOpComposite.
Definition at line 119 of file fdmblackscholesop.cpp.
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◆ preconditioner()
Implements FdmLinearOpComposite.
Definition at line 128 of file fdmblackscholesop.cpp.
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◆ toMatrixDecomp()
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overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 133 of file fdmblackscholesop.cpp.
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Member Data Documentation
◆ mesher_
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private |
Definition at line 61 of file fdmblackscholesop.hpp.
◆ rTS_
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private |
Definition at line 62 of file fdmblackscholesop.hpp.
◆ qTS_
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private |
Definition at line 62 of file fdmblackscholesop.hpp.
◆ volTS_
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private |
Definition at line 63 of file fdmblackscholesop.hpp.
◆ localVol_
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private |
Definition at line 64 of file fdmblackscholesop.hpp.
◆ x_
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private |
Definition at line 65 of file fdmblackscholesop.hpp.
◆ dxMap_
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private |
Definition at line 66 of file fdmblackscholesop.hpp.
◆ dxxMap_
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private |
Definition at line 67 of file fdmblackscholesop.hpp.
◆ mapT_
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private |
Definition at line 68 of file fdmblackscholesop.hpp.
◆ strike_
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private |
Definition at line 69 of file fdmblackscholesop.hpp.
◆ illegalLocalVolOverwrite_
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private |
Definition at line 70 of file fdmblackscholesop.hpp.
◆ direction_
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private |
Definition at line 71 of file fdmblackscholesop.hpp.
◆ quantoHelper_
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private |
Definition at line 72 of file fdmblackscholesop.hpp.