#include <fdmsabrop.hpp>
Inheritance diagram for FdmSabrOp:
Collaboration diagram for FdmSabrOp:
Public Member Functions | |
| FdmSabrOp (const ext::shared_ptr< FdmMesher > &mesher, ext::shared_ptr< YieldTermStructure > rTS, Real f0, Real alpha, Real beta, Real nu, Real rho) | |
| 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< YieldTermStructure > | rTS_ |
| const TripleBandLinearOp | dffMap_ |
| const TripleBandLinearOp | dxMap_ |
| const TripleBandLinearOp | dxxMap_ |
| const NinePointLinearOp | correlationMap_ |
| TripleBandLinearOp | mapF_ |
| TripleBandLinearOp | mapA_ |
Additional Inherited Members | |
| Public Types inherited from FdmLinearOp | |
| typedef Array | array_type |
Detailed Description
Definition at line 45 of file fdmsabrop.hpp.
Constructor & Destructor Documentation
◆ FdmSabrOp()
| FdmSabrOp | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
| ext::shared_ptr< YieldTermStructure > | rTS, | ||
| Real | f0, | ||
| Real | alpha, | ||
| Real | beta, | ||
| Real | nu, | ||
| Real | rho | ||
| ) |
Definition at line 34 of file fdmsabrop.cpp.
Member Function Documentation
◆ size()
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overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 58 of file fdmsabrop.cpp.
◆ setTime()
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 51 of file fdmsabrop.cpp.
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◆ apply()
Implements FdmLinearOp.
Definition at line 62 of file fdmsabrop.cpp.
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◆ apply_mixed()
Implements FdmLinearOpComposite.
Definition at line 66 of file fdmsabrop.cpp.
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◆ apply_direction()
Implements FdmLinearOpComposite.
Definition at line 70 of file fdmsabrop.cpp.
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◆ solve_splitting()
Implements FdmLinearOpComposite.
Definition at line 80 of file fdmsabrop.cpp.
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◆ preconditioner()
Implements FdmLinearOpComposite.
Definition at line 93 of file fdmsabrop.cpp.
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◆ toMatrixDecomp()
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overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 99 of file fdmsabrop.cpp.
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Member Data Documentation
◆ rTS_
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private |
Definition at line 67 of file fdmsabrop.hpp.
◆ dffMap_
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private |
Definition at line 69 of file fdmsabrop.hpp.
◆ dxMap_
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private |
Definition at line 70 of file fdmsabrop.hpp.
◆ dxxMap_
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private |
Definition at line 70 of file fdmsabrop.hpp.
◆ correlationMap_
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private |
Definition at line 71 of file fdmsabrop.hpp.
◆ mapF_
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private |
Definition at line 73 of file fdmsabrop.hpp.
◆ mapA_
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private |
Definition at line 73 of file fdmsabrop.hpp.