#include <ql/experimental/finitedifferences/fdmzabrop.hpp>
Inheritance diagram for FdmZabrOp:
Collaboration diagram for FdmZabrOp:
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 |
Detailed Description
Definition at line 67 of file fdmzabrop.hpp.
Constructor & Destructor Documentation
◆ FdmZabrOp()
| FdmZabrOp | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
| Real | beta, | ||
| Real | nu, | ||
| Real | rho, | ||
| Real | gamma = 1.0 |
||
| ) |
Definition at line 57 of file fdmzabrop.cpp.
Member Function Documentation
◆ size()
|
overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 73 of file fdmzabrop.cpp.
◆ setTime()
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 68 of file fdmzabrop.cpp.
Here is the call graph for this function:
◆ apply()
Implements FdmLinearOp.
Definition at line 75 of file fdmzabrop.cpp.
Here is the call graph for this function:
◆ apply_mixed()
Implements FdmLinearOpComposite.
Definition at line 90 of file fdmzabrop.cpp.
Here is the call graph for this function:
◆ apply_direction()
Implements FdmLinearOpComposite.
Definition at line 80 of file fdmzabrop.cpp.
Here is the call graph for this function:
◆ solve_splitting()
Implements FdmLinearOpComposite.
Definition at line 94 of file fdmzabrop.cpp.
Here is the call graph for this function:
Here is the caller graph for this function:
◆ preconditioner()
Implements FdmLinearOpComposite.
Definition at line 105 of file fdmzabrop.cpp.
Here is the call graph for this function:
◆ toMatrixDecomp()
|
overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 109 of file fdmzabrop.cpp.
Here is the call graph for this function:
Member Data Documentation
◆ volatilityValues_
|
private |
Definition at line 88 of file fdmzabrop.hpp.
◆ forwardValues_
|
private |
Definition at line 89 of file fdmzabrop.hpp.
◆ dxyMap_
|
private |
Definition at line 90 of file fdmzabrop.hpp.
◆ dxMap_
|
private |
Definition at line 91 of file fdmzabrop.hpp.
◆ dyMap_
|
private |
Definition at line 92 of file fdmzabrop.hpp.