QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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\( D_{-} \) matricial representation More...
#include <dminus.hpp>
Public Member Functions | |
DMinus (Size gridPoints, Real h) | |
Public Member Functions inherited from TridiagonalOperator | |
TridiagonalOperator (Size size=0) | |
TridiagonalOperator (const Array &low, const Array &mid, const Array &high) | |
TridiagonalOperator (const TridiagonalOperator &)=default | |
TridiagonalOperator (TridiagonalOperator &&) noexcept | |
TridiagonalOperator & | operator= (const TridiagonalOperator &) |
TridiagonalOperator & | operator= (TridiagonalOperator &&) noexcept |
~TridiagonalOperator ()=default | |
Size | size () const |
bool | isTimeDependent () const |
const Array & | lowerDiagonal () const |
const Array & | diagonal () const |
const Array & | upperDiagonal () const |
void | setFirstRow (Real, Real) |
void | setMidRow (Size, Real, Real, Real) |
void | setMidRows (Real, Real, Real) |
void | setLastRow (Real, Real) |
void | setTime (Time t) |
void | swap (TridiagonalOperator &) noexcept |
Array | applyTo (const Array &v) const |
apply operator to a given array More... | |
Array | solveFor (const Array &rhs) const |
solve linear system for a given right-hand side More... | |
void | solveFor (const Array &rhs, Array &result) const |
Array | SOR (const Array &rhs, Real tol) const |
solve linear system with SOR approach More... | |
Additional Inherited Members | |
Public Types inherited from TridiagonalOperator | |
typedef Array | array_type |
Static Public Member Functions inherited from TridiagonalOperator | |
static TridiagonalOperator | identity (Size size) |
identity instance More... | |
Protected Attributes inherited from TridiagonalOperator | |
Size | n_ |
Array | diagonal_ |
Array | lowerDiagonal_ |
Array | upperDiagonal_ |
Array | temp_ |
ext::shared_ptr< TimeSetter > | timeSetter_ |
\( D_{-} \) matricial representation
The differential operator \( D_{-} \) discretizes the first derivative with the first-order formula
\[ \frac{\partial u_{i}}{\partial x} \approx \frac{u_{i}-u_{i-1}}{h} = D_{-} u_{i} \]
Definition at line 40 of file dminus.hpp.