23#ifndef quantlib_fdm_3_dim_solver_hpp
24#define quantlib_fdm_3_dim_solver_hpp
26#include <ql/math/matrix.hpp>
27#include <ql/patterns/lazyobject.hpp>
28#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
29#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
35 class FdmSnapshotCondition;
41 ext::shared_ptr<FdmLinearOpComposite> op);
51 const ext::shared_ptr<FdmLinearOpComposite>
op_;
void performCalculations() const override
std::vector< Real > initialValues_
std::vector< Matrix > resultValues_
const ext::shared_ptr< FdmStepConditionComposite > conditions_
const ext::shared_ptr< FdmSnapshotCondition > thetaCondition_
Real interpolateAt(Real x, Real y, Rate z) const
const FdmSolverDesc solverDesc_
Real thetaAt(Real x, Real y, Rate z) const
std::vector< ext::shared_ptr< BicubicSpline > > interpolation_
const ext::shared_ptr< FdmLinearOpComposite > op_
const FdmSchemeDesc schemeDesc_
Framework for calculation on demand and result caching.