FdmExtendedOrnsteinUhlenbeckOp Class Reference

#include <fdmextendedornsteinuhlenbeckop.hpp>

Inheritance diagram for FdmExtendedOrnsteinUhlenbeckOp:

Collaboration diagram for FdmExtendedOrnsteinUhlenbeckOp:

Public Member Functions
	FdmExtendedOrnsteinUhlenbeckOp (const ext::shared_ptr< FdmMesher > &mesher, ext::shared_ptr< ExtendedOrnsteinUhlenbeckProcess > p, ext::shared_ptr< YieldTermStructure > rTS, FdmBoundaryConditionSet bcSet, Size direction=0)
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 ext::shared_ptr< FdmMesher >	mesher_
const ext::shared_ptr< ExtendedOrnsteinUhlenbeckProcess >	process_
const ext::shared_ptr< YieldTermStructure >	rTS_
const FdmBoundaryConditionSet	bcSet_
const Size	direction_
const Array	x_
const FirstDerivativeOp	dxMap_
const TripleBandLinearOp	dxxMap_
TripleBandLinearOp	mapX_

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

Definition at line 39 of file fdmextendedornsteinuhlenbeckop.hpp.

Constructor & Destructor Documentation

FdmExtendedOrnsteinUhlenbeckOp()

FdmExtendedOrnsteinUhlenbeckOp	(	const ext::shared_ptr< FdmMesher > &	mesher,
		ext::shared_ptr< ExtendedOrnsteinUhlenbeckProcess >	p,
		ext::shared_ptr< YieldTermStructure >	rTS,
		FdmBoundaryConditionSet	bcSet,
		Size	direction = 0
	)

Definition at line 35 of file fdmextendedornsteinuhlenbeckop.cpp.

Member Function Documentation

size()

Size size ( ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 48 of file fdmextendedornsteinuhlenbeckop.cpp.

setTime()

void setTime ( Time  t1, Time  t2  )

overridevirtual

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

Implements FdmLinearOpComposite.

Definition at line 52 of file fdmextendedornsteinuhlenbeckop.cpp.

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apply()

Array apply ( const Array &  r ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 63 of file fdmextendedornsteinuhlenbeckop.cpp.

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apply_mixed()

Array apply_mixed ( const Array &  r ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 67 of file fdmextendedornsteinuhlenbeckop.cpp.

apply_direction()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 71 of file fdmextendedornsteinuhlenbeckop.cpp.

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solve_splitting()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 81 of file fdmextendedornsteinuhlenbeckop.cpp.

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preconditioner()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 91 of file fdmextendedornsteinuhlenbeckop.cpp.

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toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const

overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 96 of file fdmextendedornsteinuhlenbeckop.cpp.

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Member Data Documentation

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 60 of file fdmextendedornsteinuhlenbeckop.hpp.

process_

const ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> process_

private

Definition at line 61 of file fdmextendedornsteinuhlenbeckop.hpp.

rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

private

Definition at line 62 of file fdmextendedornsteinuhlenbeckop.hpp.

bcSet_

const FdmBoundaryConditionSet bcSet_

private

Definition at line 63 of file fdmextendedornsteinuhlenbeckop.hpp.

direction_

const Size direction_

private

Definition at line 64 of file fdmextendedornsteinuhlenbeckop.hpp.

x_

const Array x_

private

Definition at line 66 of file fdmextendedornsteinuhlenbeckop.hpp.

dxMap_

const FirstDerivativeOp dxMap_

private

Definition at line 67 of file fdmextendedornsteinuhlenbeckop.hpp.

dxxMap_

const TripleBandLinearOp dxxMap_

private

Definition at line 68 of file fdmextendedornsteinuhlenbeckop.hpp.

mapX_

TripleBandLinearOp mapX_

private

Definition at line 69 of file fdmextendedornsteinuhlenbeckop.hpp.