QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmbatesop.hpp>
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 |
Definition at line 36 of file fdmbatesop.hpp.
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>() |
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Definition at line 37 of file fdmbatesop.cpp.
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overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 84 of file fdmbatesop.hpp.
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 88 of file fdmbatesop.hpp.
Implements FdmLinearOp.
Definition at line 92 of file fdmbatesop.hpp.
Implements FdmLinearOpComposite.
Definition at line 96 of file fdmbatesop.hpp.
Implements FdmLinearOpComposite.
Definition at line 100 of file fdmbatesop.hpp.
Implements FdmLinearOpComposite.
Definition at line 105 of file fdmbatesop.hpp.
Implements FdmLinearOpComposite.
Definition at line 111 of file fdmbatesop.hpp.
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overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 122 of file fdmbatesop.cpp.
Definition at line 89 of file fdmbatesop.cpp.
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private |
Definition at line 73 of file fdmbatesop.hpp.
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private |
Definition at line 73 of file fdmbatesop.hpp.
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private |
Definition at line 75 of file fdmbatesop.hpp.
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private |
Definition at line 75 of file fdmbatesop.hpp.
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private |
Definition at line 75 of file fdmbatesop.hpp.
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private |
Definition at line 75 of file fdmbatesop.hpp.
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private |
Definition at line 76 of file fdmbatesop.hpp.
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private |
Definition at line 78 of file fdmbatesop.hpp.
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private |
Definition at line 79 of file fdmbatesop.hpp.
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private |
Definition at line 80 of file fdmbatesop.hpp.