SOR (3) - Linux Manuals

SOR: Base implementation for tridiagonal operator.

NAME

QuantLib::TridiagonalOperator - Base implementation for tridiagonal operator.

SYNOPSIS

#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>

Inherited by BSMOperator, DMinus, DPlus, DPlusDMinus, DZero, and PdeOperator< PdeClass >.

Classes

class TimeSetter
encapsulation of time-setting logic

Public Types

typedef Array array_type

Public Member Functions

TridiagonalOperator (Size size=0)

TridiagonalOperator (const Array &low, const Array &mid, const Array &high)

TridiagonalOperator (const Disposable< TridiagonalOperator > &)

TridiagonalOperator & operator= (const Disposable< TridiagonalOperator > &)

Inspectors

Size size () const

bool isTimeDependent ()

const Array & lowerDiagonal () const

const Array & diagonal () const

const Array & upperDiagonal () const

Modifiers

void setFirstRow (Real, Real)

void setMidRow (Size, Real, Real, Real)

void setMidRows (Real, Real, Real)

void setLastRow (Real, Real)

void setTime (Time t)

Utilities

void swap (TridiagonalOperator &)

Protected Attributes

Array diagonal_

Array lowerDiagonal_

Array upperDiagonal_

boost::shared_ptr< TimeSetter > timeSetter_

Friends

Disposable< TridiagonalOperator > operator+ (const TridiagonalOperator &)

Disposable< TridiagonalOperator > operator- (const TridiagonalOperator &)

Disposable< TridiagonalOperator > operator+ (const TridiagonalOperator &, const TridiagonalOperator &)

Disposable< TridiagonalOperator > operator- (const TridiagonalOperator &, const TridiagonalOperator &)

Disposable< TridiagonalOperator > operator* (Real, const TridiagonalOperator &)

Disposable< TridiagonalOperator > operator* (const TridiagonalOperator &, Real)

Disposable< TridiagonalOperator > operator/ (const TridiagonalOperator &, Real)

Operator interface

Disposable< Array > applyTo (const Array &v) const
apply operator to a given array
Disposable< Array > solveFor (const Array &rhs) const
solve linear system for a given right-hand side
Disposable< Array > SOR (const Array &rhs, Real tol) const
solve linear system with SOR approach
static Disposable< TridiagonalOperator > identity (Size size)
identity instance

Detailed Description

Base implementation for tridiagonal operator.

Warning

to use real time-dependant algebra, you must overload the corresponding operators in the inheriting time-dependent class.

Author

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