1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2011 Klaus Spanderen 5 6 This file is part of QuantLib, a free-software/open-source library 7 for financial quantitative analysts and developers - http://quantlib.org/ 8 9 QuantLib is free software: you can redistribute it and/or modify it 10 under the terms of the QuantLib license. You should have received a 11 copy of the license along with this program; if not, please email 12 <quantlib-dev@lists.sf.net>. The license is also available online at 13 <http://quantlib.org/license.shtml>. 14 15 This program is distributed in the hope that it will be useful, but WITHOUT 16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS 17 FOR A PARTICULAR PURPOSE. See the license for more details. 18 */ 19 20 /*! \file fdmhullwhiteop.hpp 21 \brief FDM operator for the Hull-White interest rate model 22 */ 23 24 #ifndef quantlib_fdm_hull_white_op_hpp 25 #define quantlib_fdm_hull_white_op_hpp 26 27 #include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp> 28 #include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp> 29 30 namespace QuantLib { 31 32 class FdmMesher; 33 class HullWhite; 34 35 class FdmHullWhiteOp : public FdmLinearOpComposite { 36 public: 37 38 FdmHullWhiteOp( 39 const ext::shared_ptr<FdmMesher>& mesher, 40 const ext::shared_ptr<HullWhite>& model, 41 Size direction); 42 43 Size size() const; 44 45 //! Time \f$t1 <= t2\f$ is required 46 void setTime(Time t1, Time t2); 47 48 Disposable<Array> apply(const Array& r) const; 49 Disposable<Array> apply_mixed(const Array& r) const; 50 Disposable<Array> apply_direction(Size direction, const Array& r) const; 51 Disposable<Array> 52 solve_splitting(Size direction, const Array& r, Real s) const; 53 Disposable<Array> preconditioner(const Array& r, Real s) const; 54 55 #if !defined(QL_NO_UBLAS_SUPPORT) 56 Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const; 57 #endif 58 private: 59 const Size direction_; 60 const Array x_; 61 const TripleBandLinearOp dzMap_; 62 TripleBandLinearOp mapT_; 63 const ext::shared_ptr<HullWhite> model_; 64 }; 65 } 66 67 #endif 68