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"ql/methods/finitedifferences/operators/fdmlinearopcomposite"
FdmLinearOpComposite
Class FdmLinearOpComposite
Hierarchy
FdmLinearOp
FdmLinearOpComposite
FdmBlackScholesOp
Fdm2dBlackScholesOp
FdmHestonOp
FdmBatesOp
FdmG2Op
FdmHullWhiteOp
FdmHestonHullWhiteOp
FdmOrnsteinUhlenbeckOp
FdmExtendedOrnsteinUhlenbeckOp
FdmExtOUJumpOp
FdmKlugeExtOUOp
FdmBlackScholesFwdOp
FdmDupire1dOp
FdmSquareRootFwdOp
FdmHestonFwdOp
FdmLocalVolFwdOp
FdmZabrOp
Index
Methods
apply
apply_
direction
apply_
mixed
preconditioner
set
Time
size
solve_
splitting
to
Matrix
to
Matrix
Decomp
Methods
apply
apply
(
r
:
Real
[]
)
:
Real
[]
Parameters
r:
Real
[]
Returns
Real
[]
apply_
direction
apply_
direction
(
direction
:
Size
, r
:
Real
[]
)
:
Real
[]
Parameters
direction:
Size
r:
Real
[]
Returns
Real
[]
apply_
mixed
apply_
mixed
(
r
:
Real
[]
)
:
Real
[]
Parameters
r:
Real
[]
Returns
Real
[]
preconditioner
preconditioner
(
r
:
Real
[]
, s
:
Real
)
:
Real
[]
Parameters
r:
Real
[]
s:
Real
Returns
Real
[]
set
Time
set
Time
(
t1
:
Time
, t2
:
Time
)
:
void
Parameters
t1:
Time
t2:
Time
Returns
void
size
size
(
)
:
Size
Returns
Size
solve_
splitting
solve_
splitting
(
direction
:
Size
, r
:
Real
[]
, s
:
Real
)
:
Real
[]
Parameters
direction:
Size
r:
Real
[]
s:
Real
Returns
Real
[]
to
Matrix
to
Matrix
(
)
:
SparseMatrix
Returns
SparseMatrix
to
Matrix
Decomp
to
Matrix
Decomp
(
)
:
SparseMatrix
[]
Returns
SparseMatrix
[]
Globals
"ql/methods/finitedifferences/operators/fdmlinearopcomposite"
Fdm
Linear
OpComposite
apply
apply_
direction
apply_
mixed
preconditioner
set
Time
size
solve_
splitting
to
Matrix
to
Matrix
Decomp