Class FdmExtOUJumpOp

References: Kluge, Timo L., 2008. Pricing Swing Options and other Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/kluge.pdf

Hierarchy

FdmLinearOpComposite
- FdmExtOUJumpOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmExtOUJumpOp(mesher: FdmMesher, process: ExtOUWithJumpsProcess, rTS: YieldTermStructure, bcSet: FdmBoundaryConditionSet, integroIntegrationOrder: Size): FdmExtOUJumpOp

- Defined in ql/experimental/finitedifferences/fdmextoujumpop.ts:31
Parameters
- mesher: FdmMesher
- process: ExtOUWithJumpsProcess
- rTS: YieldTermStructure
- bcSet: FdmBoundaryConditionSet
- integroIntegrationOrder: Size
Returns FdmExtOUJumpOp

Properties

Private _bcSet

_bcSet: FdmBoundaryConditionSet

Private _dyMap

_dyMap: TripleBandLinearOp

Private _gaussLaguerreIntegration

_gaussLaguerreIntegration: GaussLaguerreIntegration

Private _integroPart

_integroPart: SparseMatrix

Private _mesher

_mesher: FdmMesher

Private _ouOp

_ouOp: FdmExtendedOrnsteinUhlenbeckOp

Private _process

_process: ExtOUWithJumpsProcess

_rTS

_rTS: YieldTermStructure

_x

_x: Real[]

Methods

apply

apply(r: Real[]): Real[]

Overrides FdmLinearOp.apply
- Defined in ql/experimental/finitedifferences/fdmextoujumpop.ts:109
Parameters
- r: Real[]
Returns Real[]

apply_direction

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

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/experimental/finitedifferences/fdmextoujumpop.ts:119
Parameters
- direction: Size
- r: Real[]
Returns Real[]

apply_mixed

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

Overrides FdmLinearOpComposite.apply_mixed
- Defined in ql/experimental/finitedifferences/fdmextoujumpop.ts:115
Parameters
- r: Real[]
Returns Real[]

integro

integro(r: Real[]): Real[]

- Defined in ql/experimental/finitedifferences/fdmextoujumpop.ts:145
Parameters
- r: Real[]
Returns Real[]

preconditioner

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

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/experimental/finitedifferences/fdmextoujumpop.ts:141
Parameters
- r: Real[]
- dt: Real
Returns Real[]

setTime

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

Overrides FdmLinearOpComposite.setTime
- Defined in ql/experimental/finitedifferences/fdmextoujumpop.ts:105
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/experimental/finitedifferences/fdmextoujumpop.ts:101
Returns Size

solve_splitting

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

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/experimental/finitedifferences/fdmextoujumpop.ts:130
Parameters
- direction: Size
- r: Real[]
- a: 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/fdmextoujumpop.ts:195
Returns SparseMatrix[]