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/*
Copyright (C) 2001, 2002 Sadruddin Rejeb
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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 onefactoroperator.hpp
\brief general differential operator for one-factor interest rate models
\fullpath
ql/FiniteDifferences/%onefactoroperator.hpp
*/
// $Id: onefactoroperator.hpp,v 1.10 2002/03/05 01:10:37 sadrejeb Exp $
#ifndef quantlib_finite_differences_one_factor_operator_h
#define quantlib_finite_differences_one_factor_operator_h
#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
#include <ql/InterestRateModelling/shortrateprocess.hpp>
namespace QuantLib {
namespace FiniteDifferences {
//! Interest-rate single factor model differential operator
class OneFactorOperator : public TridiagonalOperator {
public:
OneFactorOperator() {}
OneFactorOperator(
const Array& grid,
const Handle<InterestRateModelling::ShortRateProcess>& process);
virtual ~OneFactorOperator() {}
class SpecificTimeSetter : public TridiagonalOperator::TimeSetter{
public:
SpecificTimeSetter(double x0, double dx,
const Handle<InterestRateModelling::ShortRateProcess>&
process);
virtual ~SpecificTimeSetter() {}
virtual void setTime(Time t, TridiagonalOperator& L) const;
private:
double x0_;
double dx_;
Handle<InterestRateModelling::ShortRateProcess> process_;
};
};
}
}
#endif
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