QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Public Member Functions | Private Member Functions | Private Attributes | List of all members
FdmBatesOp Class Reference

#include <fdmbatesop.hpp>

+ Inheritance diagram for FdmBatesOp:
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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< SparseMatrixtoMatrixDecomp () 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< SparseMatrixtoMatrixDecomp () 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< FdmMeshermesher_
 
const FdmBoundaryConditionSet bcSet_
 
const ext::shared_ptr< FdmHestonOphestonOp_
 

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.