Class FdmHullWhiteOp

Hierarchy

FdmLinearOpComposite
- FdmHullWhiteOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmHullWhiteOp(mesher: FdmMesher, model: HullWhite, direction: Size): FdmHullWhiteOp

- Defined in ql/methods/finitedifferences/operators/fdmhullwhiteop.ts:16
Parameters
- mesher: FdmMesher
- model: HullWhite
- direction: Size
Returns FdmHullWhiteOp

Properties

Private _direction

_direction: Size

Private _dzMap

_dzMap: TripleBandLinearOp

Private _mapT

_mapT: TripleBandLinearOp

Private _model

_model: HullWhite

Private _x

_x: Real[]

Methods

apply

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

Overrides FdmLinearOp.apply
- Defined in ql/methods/finitedifferences/operators/fdmhullwhiteop.ts:47
Parameters
- r: Real[]
Returns Real[]

apply_direction

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

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/methods/finitedifferences/operators/fdmhullwhiteop.ts:56
Parameters
- direction: Size
- r: Real[]
Returns Real[]

apply_mixed

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

Overrides FdmLinearOpComposite.apply_mixed
- Defined in ql/methods/finitedifferences/operators/fdmhullwhiteop.ts:51
Parameters
- r: Real[]
Returns Real[]

preconditioner

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

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/methods/finitedifferences/operators/fdmhullwhiteop.ts:74
Parameters
- r: Real[]
- dt: Real
Returns Real[]

setTime

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

Overrides FdmLinearOpComposite.setTime
- Defined in ql/methods/finitedifferences/operators/fdmhullwhiteop.ts:36
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/methods/finitedifferences/operators/fdmhullwhiteop.ts:32
Returns Size

solve_splitting

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

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/methods/finitedifferences/operators/fdmhullwhiteop.ts:65
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[]

Inherited from FdmLinearOpComposite.toMatrixDecomp
- Defined in ql/methods/finitedifferences/operators/fdmlinearopcomposite.ts:37
Returns SparseMatrix[]