FdmLinearOpComposite Class Reference

#include <fdmlinearopcomposite.hpp>

Inheritance diagram for FdmLinearOpComposite:

Collaboration diagram for FdmLinearOpComposite:

Public Member Functions
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

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

Definition at line 35 of file fdmlinearopcomposite.hpp.

Member Function Documentation

size()

virtual Size size ( ) const

pure virtual

Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, Fdm2dBlackScholesOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, FdmSquareRootFwdOp, and FdmWienerOp.

setTime()

virtual void setTime ( Time  t1, Time  t2  )

pure virtual

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

Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, Fdm2dBlackScholesOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, FdmSquareRootFwdOp, and FdmWienerOp.

apply_mixed()

virtual Array apply_mixed ( const Array &  r ) const

pure virtual

Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, FdmSquareRootFwdOp, Fdm2dBlackScholesOp, and FdmWienerOp.

apply_direction()

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

pure virtual

Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, FdmSquareRootFwdOp, Fdm2dBlackScholesOp, and FdmWienerOp.

solve_splitting()

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

pure virtual

Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, FdmSquareRootFwdOp, Fdm2dBlackScholesOp, and FdmWienerOp.

preconditioner()

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

pure virtual

Implemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, Fdm2dBlackScholesOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, FdmSquareRootFwdOp, and FdmWienerOp.

toMatrixDecomp()

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

virtual

Reimplemented in FdmDupire1dOp, FdmExtendedOrnsteinUhlenbeckOp, FdmExtOUJumpOp, FdmKlugeExtOUOp, FdmZabrOp, Fdm2dBlackScholesOp, FdmBatesOp, FdmBlackScholesFwdOp, FdmBlackScholesOp, FdmCEVOp, FdmCIROp, FdmG2Op, FdmHestonFwdOp, FdmHestonHullWhiteOp, FdmHestonOp, FdmHullWhiteOp, FdmLocalVolFwdOp, FdmOrnsteinUhlenbeckOp, FdmSabrOp, FdmSquareRootFwdOp, and FdmWienerOp.

Definition at line 48 of file fdmlinearopcomposite.hpp.

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toMatrix()

SparseMatrix toMatrix ( ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 52 of file fdmlinearopcomposite.hpp.

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