Fdm2dBlackScholesOp Class Reference

#include <fdm2dblackscholesop.hpp>

Inheritance diagram for Fdm2dBlackScholesOp:

Collaboration diagram for Fdm2dBlackScholesOp:

Public Member Functions
	Fdm2dBlackScholesOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< GeneralizedBlackScholesProcess > &p1, const ext::shared_ptr< GeneralizedBlackScholesProcess > &p2, Real correlation, Time maturity, bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >())
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< FdmMesher >	mesher_
const ext::shared_ptr< GeneralizedBlackScholesProcess >	p1_
const ext::shared_ptr< GeneralizedBlackScholesProcess >	p2_
const ext::shared_ptr< LocalVolTermStructure >	localVol1_
const ext::shared_ptr< LocalVolTermStructure >	localVol2_
const Array	x_
const Array	y_
Real	currentForwardRate_
FdmBlackScholesOp	opX_
FdmBlackScholesOp	opY_
NinePointLinearOp	corrMapT_
const NinePointLinearOp	corrMapTemplate_
const Real	illegalLocalVolOverwrite_

Additional Inherited Members
Public Types inherited from FdmLinearOp
typedef Array	array_type

Detailed Description

Definition at line 36 of file fdm2dblackscholesop.hpp.

Constructor & Destructor Documentation

Fdm2dBlackScholesOp()

Fdm2dBlackScholesOp	(	const ext::shared_ptr< FdmMesher > &	mesher,
		const ext::shared_ptr< GeneralizedBlackScholesProcess > &	p1,
		const ext::shared_ptr< GeneralizedBlackScholesProcess > &	p2,
		Real	correlation,
		Time	maturity,
		bool	localVol = false,
		Real	illegalLocalVolOverwrite = -Null<Real>()
	)

Definition at line 33 of file fdm2dblackscholesop.cpp.

Member Function Documentation

size()

Size size ( ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 63 of file fdm2dblackscholesop.cpp.

setTime()

void setTime ( Time  t1, Time  t2  )

overridevirtual

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

Implements FdmLinearOpComposite.

Definition at line 67 of file fdm2dblackscholesop.cpp.

Here is the call graph for this function:

apply()

Array apply ( const Array &  x ) const

overridevirtual

Implements FdmLinearOp.

Definition at line 110 of file fdm2dblackscholesop.cpp.

Here is the call graph for this function:

apply_mixed()

Array apply_mixed ( const Array &  x ) const

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 114 of file fdm2dblackscholesop.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

apply_direction()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 118 of file fdm2dblackscholesop.cpp.

Here is the call graph for this function:

solve_splitting()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 131 of file fdm2dblackscholesop.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

preconditioner()

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

overridevirtual

Implements FdmLinearOpComposite.

Definition at line 143 of file fdm2dblackscholesop.cpp.

Here is the call graph for this function:

toMatrixDecomp()

std::vector< SparseMatrix > toMatrixDecomp ( ) const

overridevirtual

Reimplemented from FdmLinearOpComposite.

Definition at line 148 of file fdm2dblackscholesop.cpp.

Here is the call graph for this function:

Member Data Documentation

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 60 of file fdm2dblackscholesop.hpp.

p1_

const ext::shared_ptr<GeneralizedBlackScholesProcess> p1_

private

Definition at line 61 of file fdm2dblackscholesop.hpp.

p2_

const ext::shared_ptr<GeneralizedBlackScholesProcess> p2_

private

Definition at line 61 of file fdm2dblackscholesop.hpp.

localVol1_

const ext::shared_ptr<LocalVolTermStructure> localVol1_

private

Definition at line 62 of file fdm2dblackscholesop.hpp.

localVol2_

const ext::shared_ptr<LocalVolTermStructure> localVol2_

private

Definition at line 62 of file fdm2dblackscholesop.hpp.

x_

const Array x_

private

Definition at line 63 of file fdm2dblackscholesop.hpp.

y_

const Array y_

private

Definition at line 63 of file fdm2dblackscholesop.hpp.

currentForwardRate_

Real currentForwardRate_

private

Definition at line 65 of file fdm2dblackscholesop.hpp.

opX_

FdmBlackScholesOp opX_

private

Definition at line 66 of file fdm2dblackscholesop.hpp.

opY_

FdmBlackScholesOp opY_

private

Definition at line 66 of file fdm2dblackscholesop.hpp.

corrMapT_

NinePointLinearOp corrMapT_

private

Definition at line 67 of file fdm2dblackscholesop.hpp.

corrMapTemplate_

const NinePointLinearOp corrMapTemplate_

private

Definition at line 68 of file fdm2dblackscholesop.hpp.

illegalLocalVolOverwrite_

const Real illegalLocalVolOverwrite_

private

Definition at line 69 of file fdm2dblackscholesop.hpp.