Class FdmOrnsteinUhlenbeckOp

Hierarchy

FdmLinearOpComposite
- FdmOrnsteinUhlenbeckOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmOrnsteinUhlenbeckOp(mesher: FdmMesher, process: OrnsteinUhlenbeckProcess, rTS: YieldTermStructure, bcSet: FdmBoundaryConditionSet, direction?: Size): FdmOrnsteinUhlenbeckOp

- Defined in ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.ts:19
Parameters
- mesher: FdmMesher
- process: OrnsteinUhlenbeckProcess
- rTS: YieldTermStructure
- bcSet: FdmBoundaryConditionSet
- Default value direction: Size = 0
Returns FdmOrnsteinUhlenbeckOp

Properties

_bcSet

_bcSet: FdmBoundaryConditionSet

Private _direction

_direction: Size

Private _m

_m: TripleBandLinearOp

Private _mapX

_mapX: TripleBandLinearOp

Private _mesher

_mesher: FdmMesher

Private _process

_process: OrnsteinUhlenbeckProcess

Private _rTS

_rTS: YieldTermStructure

Methods

apply

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

Overrides FdmLinearOp.apply
- Defined in ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.ts:65
Parameters
- r: Real[]
Returns Real[]

apply_direction

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

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.ts:74
Parameters
- direction: Size
- r: Real[]
Returns Real[]

apply_mixed

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

Overrides FdmLinearOpComposite.apply_mixed
- Defined in ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.ts:69
Parameters
- r: Real[]
Returns Real[]

preconditioner

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

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.ts:92
Parameters
- r: Real[]
- dt: Real
Returns Real[]

setTime

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

Overrides FdmLinearOpComposite.setTime
- Defined in ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.ts:58
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.ts:54
Returns Size

solve_splitting

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

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.ts:83
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[]