FdmBlackScholesOp Class Reference

#include <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,
		ext::shared_ptr< FdmQuantoHelper >	quantoHelper = ext::shared_ptr<FdmQuantoHelper>()
	)

Definition at line 32 of file fdmblackscholesop.cpp.

Member Function Documentation

size()

Size size ( ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 100 of file fdmblackscholesop.cpp.

setTime()

void setTime ( Time  t1, Time  t2  )

overridevirtual

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

Implements FdmLinearOpComposite.

Definition at line 51 of file fdmblackscholesop.cpp.

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apply()

Array apply ( const Array &  r ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 102 of file fdmblackscholesop.cpp.

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apply_mixed()

Array apply_mixed ( const Array &  r ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 115 of file fdmblackscholesop.cpp.

apply_direction()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 106 of file fdmblackscholesop.cpp.

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solve_splitting()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 119 of file fdmblackscholesop.cpp.

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preconditioner()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 128 of file fdmblackscholesop.cpp.

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toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const

overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 133 of file fdmblackscholesop.cpp.

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Member Data Documentation

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 61 of file fdmblackscholesop.hpp.

rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

private

Definition at line 62 of file fdmblackscholesop.hpp.

qTS_

const ext::shared_ptr<YieldTermStructure> qTS_

private

Definition at line 62 of file fdmblackscholesop.hpp.

volTS_

const ext::shared_ptr<BlackVolTermStructure> volTS_

private

Definition at line 63 of file fdmblackscholesop.hpp.

localVol_

const ext::shared_ptr<LocalVolTermStructure> localVol_

private

Definition at line 64 of file fdmblackscholesop.hpp.

x_

const Array x_

private

Definition at line 65 of file fdmblackscholesop.hpp.

dxMap_

const FirstDerivativeOp dxMap_

private

Definition at line 66 of file fdmblackscholesop.hpp.

dxxMap_

const TripleBandLinearOp dxxMap_

private

Definition at line 67 of file fdmblackscholesop.hpp.

mapT_

TripleBandLinearOp mapT_

private

Definition at line 68 of file fdmblackscholesop.hpp.

strike_

const Real strike_

private

Definition at line 69 of file fdmblackscholesop.hpp.

illegalLocalVolOverwrite_

const Real illegalLocalVolOverwrite_

private

Definition at line 70 of file fdmblackscholesop.hpp.

direction_

const Size direction_

private

Definition at line 71 of file fdmblackscholesop.hpp.

quantoHelper_

const ext::shared_ptr<FdmQuantoHelper> quantoHelper_

private

Definition at line 72 of file fdmblackscholesop.hpp.