FdmBatesOp Class Reference

#include <ql/methods/finitedifferences/operators/fdmbatesop.hpp>

Inheritance diagram for FdmBatesOp:

Collaboration diagram for FdmBatesOp:

Classes
class	IntegroIntegrand

Public Member Functions
	FdmBatesOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< BatesProcess > &batesProcess, FdmBoundaryConditionSet bcSet, Size integroIntegrationOrder, const ext::shared_ptr< FdmQuantoHelper > &quantoHelper=ext::shared_ptr< FdmQuantoHelper >())
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 Member Functions
Array	integro (const Array &r) const

Private Attributes
Array	x_
Array	weights_
const Real	lambda_
const Real	delta_
const Real	nu_
const Real	m_
GaussHermiteIntegration	gaussHermiteIntegration_
const ext::shared_ptr< FdmMesher >	mesher_
const FdmBoundaryConditionSet	bcSet_
const ext::shared_ptr< FdmHestonOp >	hestonOp_

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

Definition at line 36 of file fdmbatesop.hpp.

Constructor & Destructor Documentation

FdmBatesOp()

FdmBatesOp	(	const ext::shared_ptr< FdmMesher > &	mesher,
		const ext::shared_ptr< BatesProcess > &	batesProcess,
		FdmBoundaryConditionSet	bcSet,
		Size	integroIntegrationOrder,
		const ext::shared_ptr< FdmQuantoHelper > &	quantoHelper = ext::shared_ptr<FdmQuantoHelper>()
	)

Definition at line 37 of file fdmbatesop.cpp.

Member Function Documentation

size()

Size size ( ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 84 of file fdmbatesop.hpp.

setTime()

void setTime ( Time  t1, Time  t2  )

overridevirtual

Time \(t1 <= t2\) is required.

Implements FdmLinearOpComposite.

Definition at line 88 of file fdmbatesop.hpp.

apply()

Array apply ( const Array &  r ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 92 of file fdmbatesop.hpp.

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apply_mixed()

Array apply_mixed ( const Array &  r ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 96 of file fdmbatesop.hpp.

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apply_direction()

Array apply_direction ( Size  direction, const Array &  r  ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 100 of file fdmbatesop.hpp.

solve_splitting()

Array solve_splitting ( Size  direction, const Array &  r, Real  s  ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 105 of file fdmbatesop.hpp.

preconditioner()

Array preconditioner ( const Array &  r, Real  s  ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 111 of file fdmbatesop.hpp.

toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const

overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 122 of file fdmbatesop.cpp.

integro()

Array integro ( const Array &  r ) const

private

Definition at line 89 of file fdmbatesop.cpp.

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Member Data Documentation

x_

Array x_

private

Definition at line 73 of file fdmbatesop.hpp.

weights_

Array weights_

private

Definition at line 73 of file fdmbatesop.hpp.

lambda_

const Real lambda_

private

Definition at line 75 of file fdmbatesop.hpp.

delta_

const Real delta_

private

Definition at line 75 of file fdmbatesop.hpp.

nu_

const Real nu_

private

Definition at line 75 of file fdmbatesop.hpp.

m_

const Real m_

private

Definition at line 75 of file fdmbatesop.hpp.

gaussHermiteIntegration_

GaussHermiteIntegration gaussHermiteIntegration_

private

Definition at line 76 of file fdmbatesop.hpp.

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 78 of file fdmbatesop.hpp.

bcSet_

const FdmBoundaryConditionSet bcSet_

private

Definition at line 79 of file fdmbatesop.hpp.

hestonOp_

const ext::shared_ptr<FdmHestonOp> hestonOp_

private

Definition at line 80 of file fdmbatesop.hpp.