#include <fdmhullwhiteop.hpp>
Inheritance diagram for FdmHullWhiteOp:
Collaboration diagram for FdmHullWhiteOp:
Public Member Functions | |
| FdmHullWhiteOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< HullWhite > &model, Size direction) | |
| 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 Size | direction_ |
| const Array | x_ |
| const TripleBandLinearOp | dzMap_ |
| TripleBandLinearOp | mapT_ |
| const ext::shared_ptr< HullWhite > | model_ |
Additional Inherited Members | |
| Public Types inherited from FdmLinearOp | |
| typedef Array | array_type |
Detailed Description
Definition at line 35 of file fdmhullwhiteop.hpp.
Constructor & Destructor Documentation
◆ FdmHullWhiteOp()
| FdmHullWhiteOp | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
| const ext::shared_ptr< HullWhite > & | model, | ||
| Size | direction | ||
| ) |
Definition at line 32 of file fdmhullwhiteop.cpp.
Member Function Documentation
◆ size()
|
overridevirtual |
Implements FdmLinearOpComposite.
Definition at line 46 of file fdmhullwhiteop.cpp.
◆ setTime()
Time \(t1 <= t2\) is required.
Implements FdmLinearOpComposite.
Definition at line 48 of file fdmhullwhiteop.cpp.
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◆ apply()
Implements FdmLinearOp.
Definition at line 59 of file fdmhullwhiteop.cpp.
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◆ apply_mixed()
Implements FdmLinearOpComposite.
Definition at line 63 of file fdmhullwhiteop.cpp.
◆ apply_direction()
Implements FdmLinearOpComposite.
Definition at line 67 of file fdmhullwhiteop.cpp.
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◆ solve_splitting()
Implements FdmLinearOpComposite.
Definition at line 75 of file fdmhullwhiteop.cpp.
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◆ preconditioner()
Implements FdmLinearOpComposite.
Definition at line 84 of file fdmhullwhiteop.cpp.
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◆ toMatrixDecomp()
|
overridevirtual |
Reimplemented from FdmLinearOpComposite.
Definition at line 88 of file fdmhullwhiteop.cpp.
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Member Data Documentation
◆ direction_
|
private |
Definition at line 57 of file fdmhullwhiteop.hpp.
◆ x_
|
private |
Definition at line 58 of file fdmhullwhiteop.hpp.
◆ dzMap_
|
private |
Definition at line 59 of file fdmhullwhiteop.hpp.
◆ mapT_
|
private |
Definition at line 60 of file fdmhullwhiteop.hpp.
◆ model_
|
private |
Definition at line 61 of file fdmhullwhiteop.hpp.