#include <ql/methods/finitedifferences/operators/fdmhestonfwdop.hpp>
Inheritance diagram for FdmHestonFwdOp:
Collaboration diagram for FdmHestonFwdOp:
Public Member Functions | |
| FdmHestonFwdOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< HestonProcess > &process, FdmSquareRootFwdOp::TransformationType type=FdmSquareRootFwdOp::Plain, ext::shared_ptr< LocalVolTermStructure > leverageFct=ext::shared_ptr< LocalVolTermStructure >(), Real mixingFactor=1.0) | |
| 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 Member Functions | |
| Array | getLeverageFctSlice (Time t1, Time t2) const |
Private Attributes | |
| const FdmSquareRootFwdOp::TransformationType | type_ |
| const Real | kappa_ |
| const Real | theta_ |
| const Real | sigma_ |
| const Real | rho_ |
| const Real | v0_ |
| const Real | mixedSigma_ |
| const ext::shared_ptr< YieldTermStructure > | rTS_ |
| const ext::shared_ptr< YieldTermStructure > | qTS_ |
| const Array | varianceValues_ |
| const ext::shared_ptr< FirstDerivativeOp > | dxMap_ |
| const ext::shared_ptr< ModTripleBandLinearOp > | dxxMap_ |
| const ext::shared_ptr< ModTripleBandLinearOp > | boundary_ |
| Array | L_ |
| const ext::shared_ptr< TripleBandLinearOp > | mapX_ |
| const ext::shared_ptr< FdmSquareRootFwdOp > | mapY_ |
| const ext::shared_ptr< NinePointLinearOp > | correlation_ |
| const ext::shared_ptr< LocalVolTermStructure > | leverageFct_ |
| const ext::shared_ptr< FdmMesher > | mesher_ |
| const Array | x_ |
Additional Inherited Members | |
| Public Types inherited from FdmLinearOp | |
| typedef Array | array_type |
Detailed Description
Definition at line 42 of file fdmhestonfwdop.hpp.
Constructor & Destructor Documentation
◆ FdmHestonFwdOp()
| FdmHestonFwdOp | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
| const ext::shared_ptr< HestonProcess > & | process, | ||
| FdmSquareRootFwdOp::TransformationType | type = FdmSquareRootFwdOp::Plain, |
||
| ext::shared_ptr< LocalVolTermStructure > | leverageFct = ext::shared_ptr<LocalVolTermStructure>(), |
||
| Real | mixingFactor = 1.0 |
||
| ) |
Member Function Documentation
◆ size()
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overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 104 of file fdmhestonfwdop.cpp.
◆ setTime()
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 108 of file fdmhestonfwdop.cpp.
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◆ apply()
Implements FdmLinearOp.
Definition at line 145 of file fdmhestonfwdop.cpp.
◆ apply_mixed()
Implements FdmLinearOpComposite.
Definition at line 157 of file fdmhestonfwdop.cpp.
◆ apply_direction()
Implements FdmLinearOpComposite.
Definition at line 165 of file fdmhestonfwdop.cpp.
◆ solve_splitting()
Implements FdmLinearOpComposite.
Definition at line 176 of file fdmhestonfwdop.cpp.
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◆ preconditioner()
Implements FdmLinearOpComposite.
Definition at line 188 of file fdmhestonfwdop.cpp.
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◆ toMatrixDecomp()
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overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 219 of file fdmhestonfwdop.cpp.
◆ getLeverageFctSlice()
Member Data Documentation
◆ type_
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private |
Definition at line 64 of file fdmhestonfwdop.hpp.
◆ kappa_
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private |
Definition at line 65 of file fdmhestonfwdop.hpp.
◆ theta_
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private |
Definition at line 65 of file fdmhestonfwdop.hpp.
◆ sigma_
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private |
Definition at line 65 of file fdmhestonfwdop.hpp.
◆ rho_
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private |
Definition at line 65 of file fdmhestonfwdop.hpp.
◆ v0_
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private |
Definition at line 65 of file fdmhestonfwdop.hpp.
◆ mixedSigma_
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private |
Definition at line 65 of file fdmhestonfwdop.hpp.
◆ rTS_
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private |
Definition at line 67 of file fdmhestonfwdop.hpp.
◆ qTS_
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private |
Definition at line 68 of file fdmhestonfwdop.hpp.
◆ varianceValues_
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private |
Definition at line 70 of file fdmhestonfwdop.hpp.
◆ dxMap_
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private |
Definition at line 71 of file fdmhestonfwdop.hpp.
◆ dxxMap_
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private |
Definition at line 72 of file fdmhestonfwdop.hpp.
◆ boundary_
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private |
Definition at line 73 of file fdmhestonfwdop.hpp.
◆ L_
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private |
Definition at line 74 of file fdmhestonfwdop.hpp.
◆ mapX_
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private |
Definition at line 76 of file fdmhestonfwdop.hpp.
◆ mapY_
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private |
Definition at line 77 of file fdmhestonfwdop.hpp.
◆ correlation_
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private |
Definition at line 79 of file fdmhestonfwdop.hpp.
◆ leverageFct_
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private |
Definition at line 81 of file fdmhestonfwdop.hpp.
◆ mesher_
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private |
Definition at line 82 of file fdmhestonfwdop.hpp.
◆ x_
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private |
Definition at line 83 of file fdmhestonfwdop.hpp.