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| FdmBlackScholesOp (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real strike=Null< Real >(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), Size direction=0, const ext::shared_ptr< FdmQuantoHelper > &quantoHelper=ext::shared_ptr< FdmQuantoHelper >(), const bool discounting=true, const bool ensureNonNegativeForwardVariance=false) |
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Size | size () const override |
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void | setTime (Time t1, Time t2) override |
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Array | apply (const Array &r) const override |
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Array | apply_mixed (const Array &r) const override |
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Array | apply_direction (Size direction, const Array &r) const override |
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Array | solve_splitting (Size direction, const Array &r, Real s) const override |
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Array | preconditioner (const Array &r, Real s) const override |
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std::vector< QuantLib::SparseMatrix > | toMatrixDecomp () const override |
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