QuantLib: a free/open-source library for quantitative finance
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fdmornsteinuhlenbeckop.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2016 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file fdmornsteinuhlenbeckop.hpp
21 \brief Ornstein Uhlenbeck process
22*/
23
24#ifndef quantlib_fdm_ornstein_uhlenback_op_hpp
25#define quantlib_fdm_ornstein_uhlenback_op_hpp
26
31
32
33namespace QuantLib {
34
35 class FdmMesher;
36 class YieldTermStructure;
37 class OrnsteinUhlenbeckProcess;
38
40 public:
41 FdmOrnsteinUhlenbeckOp(const ext::shared_ptr<FdmMesher>& mesher,
42 ext::shared_ptr<OrnsteinUhlenbeckProcess> p,
43 ext::shared_ptr<YieldTermStructure> rTS,
44 Size direction = 0);
45
46 Size size() const override;
47 void setTime(Time t1, Time t2) override;
48
49 Array apply(const Array& r) const override;
50 Array apply_mixed(const Array& r) const override;
51
52 Array apply_direction(Size direction, const Array& r) const override;
53 Array solve_splitting(Size direction, const Array& r, Real s) const override;
54 Array preconditioner(const Array& r, Real s) const override;
55
56 std::vector<SparseMatrix> toMatrixDecomp() const override;
57
58 private:
59 const ext::shared_ptr<FdmMesher> mesher_;
60 const ext::shared_ptr<OrnsteinUhlenbeckProcess> process_;
61 const ext::shared_ptr<YieldTermStructure> rTS_;
63
65 };
66
67}
68#endif
1-D array used in linear algebra.
Definition: array.hpp:52
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
void setTime(Time t1, Time t2) override
Time is required.
Array apply_mixed(const Array &r) const override
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< OrnsteinUhlenbeckProcess > process_
composite pattern for linear operators
first derivative linear operator
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
ext::shared_ptr< YieldTermStructure > r
general triple band linear operator