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fdmornsteinuhlenbeckop.hpp
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fdmornsteinuhlenbeckop.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2016 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file fdmornsteinuhlenbeckop.hpp
\brief Ornstein Uhlenbeck process
*/
#ifndef quantlib_fdm_ornstein_uhlenback_op_hpp
#define quantlib_fdm_ornstein_uhlenback_op_hpp
#include <ql/methods/finitedifferences/operators/firstderivativeop.hpp>
#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp>
namespace QuantLib {
class FdmMesher;
class YieldTermStructure;
class OrnsteinUhlenbeckProcess;
class FdmOrnsteinUhlenbeckOp : public FdmLinearOpComposite {
public:
FdmOrnsteinUhlenbeckOp(
const ext::shared_ptr<FdmMesher>& mesher,
const ext::shared_ptr<OrnsteinUhlenbeckProcess>& p,
const ext::shared_ptr<YieldTermStructure>& rTS,
Size direction = 0);
Size size() const;
void setTime(Time t1, Time t2);
Disposable<Array> apply(const Array& r) const;
Disposable<Array> apply_mixed(const Array& r) const;
Disposable<Array> apply_direction(Size direction,
const Array& r) const;
Disposable<Array> solve_splitting(Size direction,
const Array& r, Real s) const;
Disposable<Array> preconditioner(const Array& r, Real s) const;
#if !defined(QL_NO_UBLAS_SUPPORT)
Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const;
#endif
private:
const ext::shared_ptr<FdmMesher> mesher_;
const ext::shared_ptr<OrnsteinUhlenbeckProcess> process_;
const ext::shared_ptr<YieldTermStructure> rTS_;
const Size direction_;
TripleBandLinearOp m_, mapX_;
};
/*! \deprecated Renamed to FdmOrnsteinUhlenbeckOp.
Deprecated in version 1.17.
*/
QL_DEPRECATED
typedef FdmOrnsteinUhlenbeckOp FdmOrnsteinUhlenbackOp;
}
#endif