QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmhullwhiteop.hpp>
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< SparseMatrix > | toMatrixDecomp () 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< SparseMatrix > | toMatrixDecomp () 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< HullWhite > | model_ |
Additional Inherited Members | |
Public Types inherited from FdmLinearOp | |
typedef Array | array_type |
Definition at line 35 of file fdmhullwhiteop.hpp.
FdmHullWhiteOp | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
const ext::shared_ptr< HullWhite > & | model, | ||
Size | direction | ||
) |
Definition at line 32 of file fdmhullwhiteop.cpp.
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overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 46 of file fdmhullwhiteop.cpp.
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 48 of file fdmhullwhiteop.cpp.
Implements FdmLinearOp.
Definition at line 59 of file fdmhullwhiteop.cpp.
Implements FdmLinearOpComposite.
Definition at line 63 of file fdmhullwhiteop.cpp.
Implements FdmLinearOpComposite.
Definition at line 67 of file fdmhullwhiteop.cpp.
Implements FdmLinearOpComposite.
Definition at line 75 of file fdmhullwhiteop.cpp.
Implements FdmLinearOpComposite.
Definition at line 84 of file fdmhullwhiteop.cpp.
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overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 88 of file fdmhullwhiteop.cpp.
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private |
Definition at line 57 of file fdmhullwhiteop.hpp.
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private |
Definition at line 58 of file fdmhullwhiteop.hpp.
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private |
Definition at line 59 of file fdmhullwhiteop.hpp.
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private |
Definition at line 60 of file fdmhullwhiteop.hpp.
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private |
Definition at line 61 of file fdmhullwhiteop.hpp.