QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
ql
methods
finitedifferences
operators
nthorderderivativeop.hpp
Go to the documentation of this file.
1
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3
/*
4
Copyright (C) 2018 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 nthorderderivativeop.hpp
21
\brief n-th order derivative linear operator
22
*/
23
24
#ifndef quantlib_nth_order_derivative_op_hpp
25
#define quantlib_nth_order_derivative_op_hpp
26
27
#include <
ql/methods/finitedifferences/meshers/fdmmesher.hpp
>
28
#include <
ql/methods/finitedifferences/operators/fdmlinearop.hpp
>
29
30
namespace
QuantLib
{
31
32
class
NthOrderDerivativeOp
:
public
FdmLinearOp
{
33
public
:
34
NthOrderDerivativeOp
(
35
Size
direction,
Size
order,
Integer
nPoints,
36
const
ext::shared_ptr<FdmMesher>& mesher);
37
38
array_type
apply
(
const
array_type
&
r
)
const override
;
39
SparseMatrix
toMatrix
()
const override
;
40
41
private
:
42
SparseMatrix
m_
;
43
};
44
}
45
46
#endif
QuantLib::Array
1-D array used in linear algebra.
Definition:
array.hpp:52
QuantLib::FdmLinearOp
Definition:
fdmlinearop.hpp:34
QuantLib::NthOrderDerivativeOp
Definition:
nthorderderivativeop.hpp:32
QuantLib::NthOrderDerivativeOp::apply
array_type apply(const array_type &r) const override
Definition:
nthorderderivativeop.cpp:79
QuantLib::NthOrderDerivativeOp::toMatrix
SparseMatrix toMatrix() const override
Definition:
nthorderderivativeop.cpp:84
QuantLib::NthOrderDerivativeOp::m_
SparseMatrix m_
Definition:
nthorderderivativeop.hpp:42
fdmlinearop.hpp
linear operator to model a multi dimensinal pde system
fdmmesher.hpp
mesher for a fdm grid
QuantLib::Integer
QL_INTEGER Integer
integer number
Definition:
types.hpp:35
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
QuantLib::SparseMatrix
boost::numeric::ublas::compressed_matrix< Real > SparseMatrix
Definition:
sparsematrix.hpp:48
r
ext::shared_ptr< YieldTermStructure > r
Definition:
perturbativebarrieroptionengine.cpp:1454
Generated by
Doxygen
1.9.5