Class FdmZabrOp

Hierarchy

FdmLinearOpComposite
- FdmZabrOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmZabrOp(mesher: FdmMesher, beta: Real, nu: Real, rho: Real, gamma?: Real): FdmZabrOp

- Defined in ql/experimental/finitedifferences/fdmzabrop.ts:62
Parameters
- mesher: FdmMesher
- beta: Real
- nu: Real
- rho: Real
- Default value gamma: Real = 1
Returns FdmZabrOp

Properties

Private _dxMap

_dxMap: FdmZabrUnderlyingPart

Private _dxyMap

_dxyMap: NinePointLinearOp

Private _dyMap

_dyMap: FdmZabrVolatilityPart

Private _forwardValues

_forwardValues: Real[]

Private _volatilityValues

_volatilityValues: Real[]

Methods

apply

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

Overrides FdmLinearOp.apply
- Defined in ql/experimental/finitedifferences/fdmzabrop.ts:89
Parameters
- u: Real[]
Returns Real[]

apply_direction

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

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/experimental/finitedifferences/fdmzabrop.ts:100
Parameters
- direction: Size
- r: Real[]
Returns Real[]

apply_mixed

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

Overrides FdmLinearOpComposite.apply_mixed
- Defined in ql/experimental/finitedifferences/fdmzabrop.ts:96
Parameters
- r: Real[]
Returns Real[]

preconditioner

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

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/experimental/finitedifferences/fdmzabrop.ts:120
Parameters
- r: Real[]
- dt: Real
Returns Real[]

setTime

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

Overrides FdmLinearOpComposite.setTime
- Defined in ql/experimental/finitedifferences/fdmzabrop.ts:84
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/experimental/finitedifferences/fdmzabrop.ts:80
Returns Size

solve_splitting

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

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/experimental/finitedifferences/fdmzabrop.ts:110
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/fdmzabrop.ts:124
Returns SparseMatrix[]