QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
methods
finitedifferences
operators
fdmlinearop.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2008 Andreas Gaida
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Copyright (C) 2008 Ralph Schreyer
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Copyright (C) 2008 Klaus Spanderen
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file fdmlinearop.hpp
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\brief linear operator to model a multi dimensinal pde system
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*/
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#ifndef quantlib_fdm_linear_op_hpp
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#define quantlib_fdm_linear_op_hpp
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#include <
ql/math/array.hpp
>
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#include <
ql/math/matrixutilities/sparsematrix.hpp
>
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namespace
QuantLib
{
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class
FdmLinearOp
{
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public
:
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typedef
Array
array_type
;
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virtual
~FdmLinearOp
() =
default
;
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virtual
array_type
apply
(
const
array_type
&
r
)
const
= 0;
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virtual
SparseMatrix
toMatrix
()
const
= 0;
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};
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}
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#endif
array.hpp
1-D array used in linear algebra.
QuantLib::Array
1-D array used in linear algebra.
Definition:
array.hpp:52
QuantLib::FdmLinearOp
Definition:
fdmlinearop.hpp:34
QuantLib::FdmLinearOp::array_type
Array array_type
Definition:
fdmlinearop.hpp:36
QuantLib::FdmLinearOp::apply
virtual array_type apply(const array_type &r) const =0
QuantLib::FdmLinearOp::toMatrix
virtual SparseMatrix toMatrix() const =0
QuantLib::FdmLinearOp::~FdmLinearOp
virtual ~FdmLinearOp()=default
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
sparsematrix.hpp
typedef for boost sparse matrix class
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