QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
Loading...
Searching...
No Matches
Public Member Functions | Private Attributes | List of all members
FdmHullWhiteOp Class Reference

#include <ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp>

+ Inheritance diagram for FdmHullWhiteOp:
+ Collaboration diagram for FdmHullWhiteOp:

Public Member Functions

 FdmHullWhiteOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< HullWhite > &model, Size direction)
 
Size size () const override
 
void setTime (Time t1, Time t2) override
 Time \(t1 <= t2\) is required. More...
 
Array apply (const Array &r) const override
 
Array apply_mixed (const Array &r) const override
 
Array apply_direction (Size direction, const Array &r) const override
 
Array solve_splitting (Size direction, const Array &r, Real s) const override
 
Array preconditioner (const Array &r, Real s) const override
 
std::vector< SparseMatrixtoMatrixDecomp () 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< SparseMatrixtoMatrixDecomp () 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 Size direction_
 
const Array x_
 
const TripleBandLinearOp dzMap_
 
TripleBandLinearOp mapT_
 
const ext::shared_ptr< HullWhitemodel_
 

Additional Inherited Members

- Public Types inherited from FdmLinearOp
typedef Array array_type
 

Detailed Description

Definition at line 35 of file fdmhullwhiteop.hpp.

Constructor & Destructor Documentation

◆ FdmHullWhiteOp()

FdmHullWhiteOp ( const ext::shared_ptr< FdmMesher > &  mesher,
const ext::shared_ptr< HullWhite > &  model,
Size  direction 
)

Definition at line 32 of file fdmhullwhiteop.cpp.

Member Function Documentation

◆ size()

Size size ( ) const
overridevirtual

Implements FdmLinearOpComposite.

Definition at line 46 of file fdmhullwhiteop.cpp.

◆ setTime()

void setTime ( Time  t1,
Time  t2 
)
overridevirtual

Time \(t1 <= t2\) is required.

Implements FdmLinearOpComposite.

Definition at line 48 of file fdmhullwhiteop.cpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ apply()

Array apply ( const Array r) const
overridevirtual

Implements FdmLinearOp.

Definition at line 59 of file fdmhullwhiteop.cpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ apply_mixed()

Array apply_mixed ( const Array r) const
overridevirtual

Implements FdmLinearOpComposite.

Definition at line 63 of file fdmhullwhiteop.cpp.

◆ apply_direction()

Array apply_direction ( Size  direction,
const Array r 
) const
overridevirtual

Implements FdmLinearOpComposite.

Definition at line 67 of file fdmhullwhiteop.cpp.

+ Here is the call graph for this function:

◆ solve_splitting()

Array solve_splitting ( Size  direction,
const Array r,
Real  s 
) const
overridevirtual

Implements FdmLinearOpComposite.

Definition at line 75 of file fdmhullwhiteop.cpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ preconditioner()

Array preconditioner ( const Array r,
Real  s 
) const
overridevirtual

Implements FdmLinearOpComposite.

Definition at line 84 of file fdmhullwhiteop.cpp.

+ Here is the call graph for this function:

◆ toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const
overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 88 of file fdmhullwhiteop.cpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

Member Data Documentation

◆ direction_

const Size direction_
private

Definition at line 57 of file fdmhullwhiteop.hpp.

◆ x_

const Array x_
private

Definition at line 58 of file fdmhullwhiteop.hpp.

◆ dzMap_

const TripleBandLinearOp dzMap_
private

Definition at line 59 of file fdmhullwhiteop.hpp.

◆ mapT_

TripleBandLinearOp mapT_
private

Definition at line 60 of file fdmhullwhiteop.hpp.

◆ model_

const ext::shared_ptr<HullWhite> model_
private

Definition at line 61 of file fdmhullwhiteop.hpp.