QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdm2dblackscholesop.hpp>
Public Member Functions | |
Fdm2dBlackScholesOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< GeneralizedBlackScholesProcess > &p1, const ext::shared_ptr< GeneralizedBlackScholesProcess > &p2, Real correlation, Time maturity, bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >()) | |
Size | size () const override |
void | setTime (Time t1, Time t2) override |
Time \(t1 <= t2\) is required. More... | |
Array | apply (const Array &x) const override |
Array | apply_mixed (const Array &x) const override |
Array | apply_direction (Size direction, const Array &x) const override |
Array | solve_splitting (Size direction, const Array &x, 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 ext::shared_ptr< FdmMesher > | mesher_ |
const ext::shared_ptr< GeneralizedBlackScholesProcess > | p1_ |
const ext::shared_ptr< GeneralizedBlackScholesProcess > | p2_ |
const ext::shared_ptr< LocalVolTermStructure > | localVol1_ |
const ext::shared_ptr< LocalVolTermStructure > | localVol2_ |
const Array | x_ |
const Array | y_ |
Real | currentForwardRate_ |
FdmBlackScholesOp | opX_ |
FdmBlackScholesOp | opY_ |
NinePointLinearOp | corrMapT_ |
const NinePointLinearOp | corrMapTemplate_ |
const Real | illegalLocalVolOverwrite_ |
Additional Inherited Members | |
Public Types inherited from FdmLinearOp | |
typedef Array | array_type |
Definition at line 36 of file fdm2dblackscholesop.hpp.
Fdm2dBlackScholesOp | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
const ext::shared_ptr< GeneralizedBlackScholesProcess > & | p1, | ||
const ext::shared_ptr< GeneralizedBlackScholesProcess > & | p2, | ||
Real | correlation, | ||
Time | maturity, | ||
bool | localVol = false , |
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Real | illegalLocalVolOverwrite = -Null<Real>() |
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Definition at line 33 of file fdm2dblackscholesop.cpp.
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overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 63 of file fdm2dblackscholesop.cpp.
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 67 of file fdm2dblackscholesop.cpp.
Implements FdmLinearOp.
Definition at line 110 of file fdm2dblackscholesop.cpp.
Implements FdmLinearOpComposite.
Definition at line 114 of file fdm2dblackscholesop.cpp.
Implements FdmLinearOpComposite.
Definition at line 118 of file fdm2dblackscholesop.cpp.
Implements FdmLinearOpComposite.
Definition at line 131 of file fdm2dblackscholesop.cpp.
Implements FdmLinearOpComposite.
Definition at line 143 of file fdm2dblackscholesop.cpp.
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overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 148 of file fdm2dblackscholesop.cpp.
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private |
Definition at line 60 of file fdm2dblackscholesop.hpp.
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Definition at line 61 of file fdm2dblackscholesop.hpp.
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Definition at line 61 of file fdm2dblackscholesop.hpp.
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Definition at line 62 of file fdm2dblackscholesop.hpp.
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Definition at line 62 of file fdm2dblackscholesop.hpp.
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Definition at line 63 of file fdm2dblackscholesop.hpp.
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Definition at line 63 of file fdm2dblackscholesop.hpp.
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Definition at line 65 of file fdm2dblackscholesop.hpp.
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Definition at line 66 of file fdm2dblackscholesop.hpp.
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private |
Definition at line 66 of file fdm2dblackscholesop.hpp.
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private |
Definition at line 67 of file fdm2dblackscholesop.hpp.
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private |
Definition at line 68 of file fdm2dblackscholesop.hpp.
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Definition at line 69 of file fdm2dblackscholesop.hpp.