FdmWienerOp Class Reference

#include <fdmwienerop.hpp>

Inheritance diagram for FdmWienerOp:

Collaboration diagram for FdmWienerOp:

Public Member Functions
	FdmWienerOp (const ext::shared_ptr< FdmMesher > &mesher, ext::shared_ptr< YieldTermStructure > rTS, const Array &lambdas)
Size	size () const override
void	setTime (Time t1, Time t2) override
	Time \(t1 <= t2\) is required. More...
Array	apply (const Array &x) const override
Array	apply_mixed (const Array &x) const override
Array	apply_direction (Size direction, const Array &x) const override
Array	solve_splitting (Size direction, const Array &x, 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< YieldTermStructure >	rTS_
std::vector< ext::shared_ptr< TripleBandLinearOp > >	ops_
Rate	r_ = 0.0

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

Definition at line 35 of file fdmwienerop.hpp.

Constructor & Destructor Documentation

FdmWienerOp()

FdmWienerOp	(	const ext::shared_ptr< FdmMesher > &	mesher,
		ext::shared_ptr< YieldTermStructure >	rTS,
		const Array &	lambdas
	)

Definition at line 34 of file fdmwienerop.cpp.

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Member Function Documentation

size()

Size size ( ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 50 of file fdmwienerop.cpp.

setTime()

void setTime ( Time  t1, Time  t2  )

overridevirtual

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

Implements FdmLinearOpComposite.

Definition at line 54 of file fdmwienerop.cpp.

apply()

Array apply ( const Array &  x ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 59 of file fdmwienerop.cpp.

apply_mixed()

Array apply_mixed ( const Array &  x ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 67 of file fdmwienerop.cpp.

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apply_direction()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 71 of file fdmwienerop.cpp.

solve_splitting()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 75 of file fdmwienerop.cpp.

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preconditioner()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 81 of file fdmwienerop.cpp.

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toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const

overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 85 of file fdmwienerop.cpp.

Member Data Documentation

rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

private

Definition at line 55 of file fdmwienerop.hpp.

ops_

std::vector<ext::shared_ptr<TripleBandLinearOp> > ops_

private

Definition at line 56 of file fdmwienerop.hpp.

r_

Rate r_ = 0.0

private

Definition at line 57 of file fdmwienerop.hpp.