Class FdmDupire1dOp

Hierarchy

FdmLinearOpComposite
- FdmDupire1dOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmDupire1dOp(mesher: FdmMesher, localVolatility: Real[]): FdmDupire1dOp

- Defined in ql/experimental/finitedifferences/fdmdupire1dop.ts:13
Parameters
- mesher: FdmMesher
- localVolatility: Real[]
Returns FdmDupire1dOp

Properties

_localVolatility

_localVolatility: Real[]

Private _mapT

_mapT: TripleBandLinearOp

_mesher

_mesher: FdmMesher

Methods

apply

apply(u: Real[]): Real[]

Overrides FdmLinearOp.apply
- Defined in ql/experimental/finitedifferences/fdmdupire1dop.ts:28
Parameters
- u: Real[]
Returns Real[]

apply_direction

apply_direction(direction: Size, r: Real[]): Real[]

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/experimental/finitedifferences/fdmdupire1dop.ts:37
Parameters
- direction: Size
- r: Real[]
Returns Real[]

apply_mixed

apply_mixed(r: Real[]): Real[]

Overrides FdmLinearOpComposite.apply_mixed
- Defined in ql/experimental/finitedifferences/fdmdupire1dop.ts:32
Parameters
- r: Real[]
Returns Real[]

preconditioner

preconditioner(r: Real[], dt: Real): Real[]

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/experimental/finitedifferences/fdmdupire1dop.ts:51
Parameters
- r: Real[]
- dt: Real
Returns Real[]

setTime

setTime(t1: Time, t2: Time): void

Overrides FdmLinearOpComposite.setTime
- Defined in ql/experimental/finitedifferences/fdmdupire1dop.ts:26
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/experimental/finitedifferences/fdmdupire1dop.ts:22
Returns Size

solve_splitting

solve_splitting(direction: Size, r: Real[], dt: Real): Real[]

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/experimental/finitedifferences/fdmdupire1dop.ts:44
Parameters
- direction: Size
- r: Real[]
- dt: Real
Returns Real[]

toMatrix

toMatrix(): SparseMatrix

Inherited from FdmLinearOpComposite.toMatrix
- Defined in ql/methods/finitedifferences/operators/fdmlinearopcomposite.ts:41
Returns SparseMatrix

toMatrixDecomp

toMatrixDecomp(): SparseMatrix[]

Overrides FdmLinearOpComposite.toMatrixDecomp
- Defined in ql/experimental/finitedifferences/fdmdupire1dop.ts:55
Returns SparseMatrix[]