#include <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`
	)

Definition at line 39 of file fdmhestonfwdop.cpp.

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Member Function Documentation

◆ size()

Size size ( ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 104 of file fdmhestonfwdop.cpp.

◆ setTime()

void setTime	(	Time	t1,
		Time	t2
	)

overridevirtual

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

Implements FdmLinearOpComposite.

Definition at line 108 of file fdmhestonfwdop.cpp.

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◆ apply()

Array apply ( const Array & r ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 145 of file fdmhestonfwdop.cpp.

◆ apply_mixed()

Array apply_mixed ( const Array & r ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 157 of file fdmhestonfwdop.cpp.

◆ apply_direction()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 165 of file fdmhestonfwdop.cpp.

◆ solve_splitting()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 176 of file fdmhestonfwdop.cpp.

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◆ preconditioner()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 188 of file fdmhestonfwdop.cpp.

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◆ toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const

overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 219 of file fdmhestonfwdop.cpp.

◆ getLeverageFctSlice()

Array getLeverageFctSlice	(	Time	t1,
		Time	t2
	)		const

private

Definition at line 193 of file fdmhestonfwdop.cpp.

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Member Data Documentation

◆ type_

const FdmSquareRootFwdOp::TransformationType type_

private

Definition at line 64 of file fdmhestonfwdop.hpp.

◆ kappa_

const Real kappa_

private

Definition at line 65 of file fdmhestonfwdop.hpp.

◆ theta_

const Real theta_

private

Definition at line 65 of file fdmhestonfwdop.hpp.

◆ sigma_

const Real sigma_

private

Definition at line 65 of file fdmhestonfwdop.hpp.

◆ rho_

const Real rho_

private

Definition at line 65 of file fdmhestonfwdop.hpp.

◆ v0_

const Real v0_

private

Definition at line 65 of file fdmhestonfwdop.hpp.

◆ mixedSigma_

const Real mixedSigma_

private

Definition at line 65 of file fdmhestonfwdop.hpp.

◆ rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

private

Definition at line 67 of file fdmhestonfwdop.hpp.

◆ qTS_

const ext::shared_ptr<YieldTermStructure> qTS_

private

Definition at line 68 of file fdmhestonfwdop.hpp.

◆ varianceValues_

const Array varianceValues_

private

Definition at line 70 of file fdmhestonfwdop.hpp.

◆ dxMap_

const ext::shared_ptr<FirstDerivativeOp> dxMap_

private

Definition at line 71 of file fdmhestonfwdop.hpp.

◆ dxxMap_

const ext::shared_ptr<ModTripleBandLinearOp> dxxMap_

private

Definition at line 72 of file fdmhestonfwdop.hpp.

◆ boundary_

const ext::shared_ptr<ModTripleBandLinearOp> boundary_

private

Definition at line 73 of file fdmhestonfwdop.hpp.

◆ L_

Array L_

private

Definition at line 74 of file fdmhestonfwdop.hpp.

◆ mapX_

const ext::shared_ptr<TripleBandLinearOp> mapX_

private

Definition at line 76 of file fdmhestonfwdop.hpp.

◆ mapY_

const ext::shared_ptr<FdmSquareRootFwdOp> mapY_

private

Definition at line 77 of file fdmhestonfwdop.hpp.

◆ correlation_

const ext::shared_ptr<NinePointLinearOp> correlation_

private

Definition at line 79 of file fdmhestonfwdop.hpp.

◆ leverageFct_

const ext::shared_ptr<LocalVolTermStructure> leverageFct_

private

Definition at line 81 of file fdmhestonfwdop.hpp.

◆ mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 82 of file fdmhestonfwdop.hpp.

◆ x_

const Array x_

private

Definition at line 83 of file fdmhestonfwdop.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FdmHestonFwdOp()

Member Function Documentation

◆ size()

◆ setTime()

◆ apply()

◆ apply_mixed()

◆ apply_direction()

◆ solve_splitting()

◆ preconditioner()

◆ toMatrixDecomp()

◆ getLeverageFctSlice()

Member Data Documentation

◆ type_

◆ kappa_

◆ theta_

◆ sigma_

◆ rho_

◆ v0_

◆ mixedSigma_

◆ rTS_

◆ qTS_

◆ varianceValues_

◆ dxMap_

◆ dxxMap_

◆ boundary_

◆ L_

◆ mapX_

◆ mapY_

◆ correlation_

◆ leverageFct_

◆ mesher_

◆ x_