FdmHestonOp Class Reference

#include <fdmhestonop.hpp>

Inheritance diagram for FdmHestonOp:

Collaboration diagram for FdmHestonOp:

Public Member Functions
	FdmHestonOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< HestonProcess > &hestonProcess, const ext::shared_ptr< FdmQuantoHelper > &quantoHelper=ext::shared_ptr< FdmQuantoHelper >(), const ext::shared_ptr< LocalVolTermStructure > &leverageFct=ext::shared_ptr< LocalVolTermStructure >(), Real mixingFactor=1.0)
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
NinePointLinearOp	correlationMap_
FdmHestonVariancePart	dyMap_
FdmHestonEquityPart	dxMap_

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

Definition at line 86 of file fdmhestonop.hpp.

Constructor & Destructor Documentation

FdmHestonOp()

FdmHestonOp	(	const ext::shared_ptr< FdmMesher > &	mesher,
		const ext::shared_ptr< HestonProcess > &	hestonProcess,
		const ext::shared_ptr< FdmQuantoHelper > &	quantoHelper = ext::shared_ptr<FdmQuantoHelper>(),
		const ext::shared_ptr< LocalVolTermStructure > &	leverageFct = ext::shared_ptr<LocalVolTermStructure>(),
		Real	mixingFactor = 1.0
	)

Definition at line 122 of file fdmhestonop.cpp.

Member Function Documentation

size()

Size size ( ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 148 of file fdmhestonop.cpp.

setTime()

void setTime ( Time  t1, Time  t2  )

overridevirtual

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

Implements FdmLinearOpComposite.

Definition at line 143 of file fdmhestonop.cpp.

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apply()

Array apply ( const Array &  r ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 152 of file fdmhestonop.cpp.

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apply_mixed()

Array apply_mixed ( const Array &  r ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 167 of file fdmhestonop.cpp.

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apply_direction()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 157 of file fdmhestonop.cpp.

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solve_splitting()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 171 of file fdmhestonop.cpp.

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preconditioner()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 184 of file fdmhestonop.cpp.

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toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const

overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 188 of file fdmhestonop.cpp.

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Member Data Documentation

correlationMap_

NinePointLinearOp correlationMap_

private

Definition at line 109 of file fdmhestonop.hpp.

dyMap_

FdmHestonVariancePart dyMap_

private

Definition at line 110 of file fdmhestonop.hpp.

dxMap_

FdmHestonEquityPart dxMap_

private

Definition at line 111 of file fdmhestonop.hpp.