Class FdmExtendedOrnsteinUhlenbeckOp

Hierarchy

FdmLinearOpComposite
- FdmExtendedOrnsteinUhlenbeckOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmExtendedOrnsteinUhlenbeckOp(mesher: FdmMesher, process: ExtendedOrnsteinUhlenbeckProcess, rTS: YieldTermStructure, bcSet: FdmBoundaryConditionSet, direction?: Size): FdmExtendedOrnsteinUhlenbeckOp

- Defined in ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.ts:21
Parameters
- mesher: FdmMesher
- process: ExtendedOrnsteinUhlenbeckProcess
- rTS: YieldTermStructure
- bcSet: FdmBoundaryConditionSet
- Default value direction: Size = 0
Returns FdmExtendedOrnsteinUhlenbeckOp

Properties

_bcSet

_bcSet: FdmBoundaryConditionSet

Private _direction

_direction: Size

Private _dxMap

_dxMap: FirstDerivativeOp

Private _dxxMap

_dxxMap: TripleBandLinearOp

Private _mapX

_mapX: TripleBandLinearOp

Private _mesher

_mesher: FdmMesher

Private _process

_process: ExtendedOrnsteinUhlenbeckProcess

Private _rTS

_rTS: YieldTermStructure

Private _x

_x: Real[]

Methods

apply

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

Overrides FdmLinearOp.apply
- Defined in ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.ts:61
Parameters
- u: Real[]
Returns Real[]

apply_direction

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

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.ts:70
Parameters
- direction: Size
- r: Real[]
Returns Real[]

apply_mixed

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

Overrides FdmLinearOpComposite.apply_mixed
- Defined in ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.ts:65
Parameters
- r: Real[]
Returns Real[]

preconditioner

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

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.ts:88
Parameters
- r: Real[]
- dt: Real
Returns Real[]

setTime

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

Overrides FdmLinearOpComposite.setTime
- Defined in ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.ts:45
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.ts:41
Returns Size

solve_splitting

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

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.ts:79
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/fdmextendedornsteinuhlenbeckop.ts:92
Returns SparseMatrix[]