Inheritance diagram for FdmDefaultableEquityJumpDiffusionOp:

Public Member Functions
	FdmDefaultableEquityJumpDiffusionOp (const boost::shared_ptr< QuantLib::FdmMesher > &mesher, const boost::shared_ptr< DefaultableEquityJumpDiffusionModel > &model, const Size direction=0, const std::function< Real(Real, Real, Real)> &recovery={}, const Handle< QuantLib::YieldTermStructure > &discountingCurve=Handle< QuantLib::YieldTermStructure >(), const Handle< QuantLib::Quote > &discountingSpread=Handle< QuantLib::Quote >(), const Handle< QuantLib::DefaultProbabilityTermStructure > &addCreditCurve=Handle< QuantLib::DefaultProbabilityTermStructure >(), const std::function< Real(Real, Real, Real)> &addRecovery={})

Size	size () const override

void	setTime (Time t1, Time t2) override

Array	apply (const Array &r) const override

Array	apply_mixed (const Array &r) const override

Array	apply_direction (Size direction, const Array &r) const override

Array	solve_splitting (Size direction, const Array &r, Real s) const override

Array	preconditioner (const Array &r, Real s) const override

std::vector< QuantLib::SparseMatrix >	toMatrixDecomp () const override

void	setConversionRatio (const std::function< Real(Real)> &conversionRatio)

Constructor & Destructor Documentation

◆ FdmDefaultableEquityJumpDiffusionOp()

FdmDefaultableEquityJumpDiffusionOp	(	const boost::shared_ptr< QuantLib::FdmMesher > &	mesher,
		const boost::shared_ptr< DefaultableEquityJumpDiffusionModel > &	model,
		const Size	direction = `0`,
		const std::function< Real(Real, Real, Real)> &	recovery = `{}`,
		const Handle< QuantLib::YieldTermStructure > &	discountingCurve = `Handle< QuantLib::YieldTermStructure >()`,
		const Handle< QuantLib::Quote > &	discountingSpread = `Handle< QuantLib::Quote >()`,
		const Handle< QuantLib::DefaultProbabilityTermStructure > &	addCreditCurve = `Handle< QuantLib::DefaultProbabilityTermStructure >()`,
		const std::function< Real(Real, Real, Real)> &	addRecovery = `{}`
	)

The recovery is given as a function of (t, S, conversionRatio)
The model rate r can be overwritten with a discountingCurve, this is used in the discounting term of the operator then, but not the drift term. This can e.g. be bond discounting curve in convertible bond pricings.
An additional credit curve and associated recovery rate function can be specified, which will constitute an additional discounting term and recovery term. This can e.g. be the bond credit curve for exchangeable convertible bonds (in this context, the model credit curve will be the equity credit curve then).