QuantLib: a free/open-source library for quantitative finance
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fdmlinearop.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Andreas Gaida
5 Copyright (C) 2008 Ralph Schreyer
6 Copyright (C) 2008 Klaus Spanderen
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file fdmlinearop.hpp
23 \brief linear operator to model a multi dimensinal pde system
24*/
25
26#ifndef quantlib_fdm_linear_op_hpp
27#define quantlib_fdm_linear_op_hpp
28
29#include <ql/math/array.hpp>
31
32namespace QuantLib {
33
35 public:
37 virtual ~FdmLinearOp() = default;
38 virtual array_type apply(const array_type& r) const = 0;
39
40 virtual SparseMatrix toMatrix() const = 0;
41 };
42}
43
44#endif
1-D array used in linear algebra.
1-D array used in linear algebra.
Definition: array.hpp:52
virtual array_type apply(const array_type &r) const =0
virtual SparseMatrix toMatrix() const =0
virtual ~FdmLinearOp()=default
Definition: any.hpp:35
boost::numeric::ublas::compressed_matrix< Real > SparseMatrix
ext::shared_ptr< YieldTermStructure > r
typedef for boost sparse matrix class