24#ifndef quantlib_fdm_ornstein_uhlenback_op_hpp
25#define quantlib_fdm_ornstein_uhlenback_op_hpp
27#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
28#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
29#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
30#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
36 class YieldTermStructure;
37 class OrnsteinUhlenbeckProcess;
42 ext::shared_ptr<OrnsteinUhlenbeckProcess> p,
43 ext::shared_ptr<YieldTermStructure> rTS,
60 const ext::shared_ptr<OrnsteinUhlenbeckProcess>
process_;
61 const ext::shared_ptr<YieldTermStructure>
rTS_;
1-D array used in linear algebra.
Size size() const override
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_
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container