Class FdmExtendedOrnsteinUhlenbeckOp

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

The finite-difference operator of an ExtendedOrnsteinUhlenbeckProcess in one direction of a mesher: its drift at the step's mid-time, its diffusion, and the discount at the forward rate over the step.

[Experimental("NQL0001")]
public sealed class FdmExtendedOrnsteinUhlenbeckOp : FdmLinearOpComposite

Inheritance

object

FdmLinearOp

FdmLinearOpComposite

FdmExtendedOrnsteinUhlenbeckOp

Inherited Members

FdmLinearOpComposite.ApplyMixed(Vector)

FdmLinearOpComposite.ApplyDirection(int, Vector)

FdmLinearOpComposite.SolveSplitting(int, Vector, double)

FdmLinearOpComposite.Preconditioner(Vector, double)

FdmLinearOpComposite.ToMatrix()

FdmLinearOp.Apply(Vector)

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A finite-difference operator is a solver's working state: SetTime(double, double) sets the step's map in place, as QuantLib's does. QuantLib's boundary conditions, which it holds and never reads, are held likewise.

Constructors

FdmExtendedOrnsteinUhlenbeckOp(FdmMesher, ExtendedOrnsteinUhlenbeckProcess, YieldTermStructure, ImmutableArray<BoundaryCondition<FdmLinearOp>>, int)

Initializes a new instance of the FdmExtendedOrnsteinUhlenbeckOp class.

public FdmExtendedOrnsteinUhlenbeckOp(FdmMesher mesher, ExtendedOrnsteinUhlenbeckProcess process, YieldTermStructure rTS, ImmutableArray<BoundaryCondition<FdmLinearOp>> bcSet, int direction = 0)

Parameters

mesher FdmMesher

The mesher.

process ExtendedOrnsteinUhlenbeckProcess

The process.

rTS YieldTermStructure

The discount curve.

bcSet ImmutableArray<BoundaryCondition<FdmLinearOp>>

The boundary conditions, held as QuantLib holds them.

direction int

The process's direction on the mesher.

Exceptions

ArgumentNullException

An argument is null.

Properties

BcSet

Gets the boundary conditions, which QuantLib holds and never reads.

public ImmutableArray<BoundaryCondition<FdmLinearOp>> BcSet { get; }

Property Value

ImmutableArray<BoundaryCondition<FdmLinearOp>>

Size

Gets the number of directions.

public override int Size { get; }

Property Value

int

Methods

Apply(ReadOnlySpan<double>, Span<double>)

Applies the operator to r, writing the result into the caller's span.

public override void Apply(ReadOnlySpan<double> r, Span<double> result)

Parameters

r ReadOnlySpan<double>

The values, one per point.

result Span<double>

The result, of r's length; it mustn't overlap r.

ApplyDirection(int, ReadOnlySpan<double>, Span<double>)

Applies the operator's part in one direction, writing the result into the caller's span.

public override void ApplyDirection(int direction, ReadOnlySpan<double> r, Span<double> result)

Parameters

direction int

The direction.

r ReadOnlySpan<double>

The values, one per point.

result Span<double>

The result, of r's length.

ApplyMixed(ReadOnlySpan<double>, Span<double>)

Applies the operator's mixed part, writing the result into the caller's span.

public override void ApplyMixed(ReadOnlySpan<double> r, Span<double> result)

Parameters

r ReadOnlySpan<double>

The values, one per point.

result Span<double>

The result, of r's length.

Preconditioner(ReadOnlySpan<double>, double, Span<double>)

Applies the preconditioner of (1 + s·A), writing the result into the caller's span.

public override void Preconditioner(ReadOnlySpan<double> r, double s, Span<double> result)

Parameters

r ReadOnlySpan<double>

The values, one per point.

s double

The scale of the operator.

result Span<double>

The result, of r's length.

SetTime(double, double)

Sets the operator for the interval [t1, t2].

public override void SetTime(double t1, double t2)

Parameters

t1 double

The start time.

t2 double

The end time, not before t1.

SolveSplitting(int, ReadOnlySpan<double>, double, Span<double>)

Solves (1 + s·A_direction) x = r for x, writing it into the caller's span.

public override void SolveSplitting(int direction, ReadOnlySpan<double> r, double s, Span<double> result)

Parameters

direction int

The direction.

r ReadOnlySpan<double>

The right-hand side, one value per point.

s double

The scale of the direction's operator.

result Span<double>

The solution, of r's length.

ToMatrixDecomp()

The operator as sparse matrices, one per part.

public override ImmutableArray<SparseMatrix> ToMatrixDecomp()

Returns

ImmutableArray<SparseMatrix>

The matrices.

Exceptions

NanoQLException

The operator has no sparse representation.