QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmzabrop.hpp>
Public Member Functions | |
FdmZabrOp (const ext::shared_ptr< FdmMesher > &mesher, Real beta, Real nu, Real rho, Real gamma=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 Attributes | |
const Array | volatilityValues_ |
const Array | forwardValues_ |
NinePointLinearOp | dxyMap_ |
FdmZabrUnderlyingPart | dxMap_ |
FdmZabrVolatilityPart | dyMap_ |
Additional Inherited Members | |
Public Types inherited from FdmLinearOp | |
typedef Array | array_type |
Definition at line 67 of file fdmzabrop.hpp.
FdmZabrOp | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
Real | beta, | ||
Real | nu, | ||
Real | rho, | ||
Real | gamma = 1.0 |
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) |
Definition at line 57 of file fdmzabrop.cpp.
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overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 73 of file fdmzabrop.cpp.
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 68 of file fdmzabrop.cpp.
Implements FdmLinearOp.
Definition at line 75 of file fdmzabrop.cpp.
Implements FdmLinearOpComposite.
Definition at line 90 of file fdmzabrop.cpp.
Implements FdmLinearOpComposite.
Definition at line 80 of file fdmzabrop.cpp.
Implements FdmLinearOpComposite.
Definition at line 94 of file fdmzabrop.cpp.
Implements FdmLinearOpComposite.
Definition at line 105 of file fdmzabrop.cpp.
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overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 109 of file fdmzabrop.cpp.
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private |
Definition at line 88 of file fdmzabrop.hpp.
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private |
Definition at line 89 of file fdmzabrop.hpp.
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private |
Definition at line 90 of file fdmzabrop.hpp.
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private |
Definition at line 91 of file fdmzabrop.hpp.
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private |
Definition at line 92 of file fdmzabrop.hpp.