Uses of Class
net.finmath.finitedifference.solvers.TridiagonalMatrix

Packages that use TridiagonalMatrix

Package	Description
net.finmath.finitedifference.solvers	Package net.finmath.finitedifference.solvers.
net.finmath.finitedifference.solvers.adi	Package net.finmath.finitedifference.solvers.adi.

Uses of TridiagonalMatrix in net.finmath.finitedifference.solvers

Methods in net.finmath.finitedifference.solvers with parameters of type TridiagonalMatrix

Modifier and Type	Method	Description
static double[]	ThetaMethod1DAssembly.apply(TridiagonalMatrix matrix, double[] vector)	Applies a tridiagonal operator to a vector.
static void	ThetaMethod1DAssembly.buildThetaLeftHandSide(TridiagonalMatrix lhs, double[] xGrid, double[] drift, double[] variance, double[] localDiscountRate, double deltaTau, double theta)	Builds the left-hand side matrix for the theta step:
static void	ThetaMethod1DAssembly.buildThetaLeftHandSide(TridiagonalMatrix lhs, double[] xGrid, double[] drift, double[] variance, double shortRate, double deltaTau, double theta)	Compatibility overload for deterministic-rate solvers.
static void	ThetaMethod1DAssembly.buildThetaRightHandSide(TridiagonalMatrix rhsOperator, double[] xGrid, double[] drift, double[] variance, double[] localDiscountRate, double deltaTau, double theta)	Builds the right-hand side operator for the theta step:
static void	ThetaMethod1DAssembly.buildThetaRightHandSide(TridiagonalMatrix rhsOperator, double[] xGrid, double[] drift, double[] variance, double shortRate, double deltaTau, double theta)	Compatibility overload for deterministic-rate solvers.
static double	ProjectedTridiagonalSOR.complementarityResidualInfNorm(TridiagonalMatrix matrix, double[] rhs, double[] obstacle, double[] x)	Computes the infinity norm of the complementarity residual for a candidate solution.
static void	ThetaMethod1DAssembly.overwriteAsDirichlet(TridiagonalMatrix matrix, double[] rhs, int row, double value)	Overwrites one matrix row with a Dirichlet condition.
static double[]	ProjectedTridiagonalSOR.solve(TridiagonalMatrix matrix, double[] rhs, double[] obstacle, double[] initialGuess, double omega, int maxIterations, double tolerance)	Solves a tridiagonal linear complementarity problem using projected SOR.

Uses of TridiagonalMatrix in net.finmath.finitedifference.solvers.adi

Methods in net.finmath.finitedifference.solvers.adi that return TridiagonalMatrix

Modifier and Type	Method	Description
TridiagonalMatrix	ADI2DStencilBuilder.buildFirstDirectionLineMatrix(double time, double dt, double theta, int x1Index)	Performs the operation.
TridiagonalMatrix	ADI3DStencilBuilder.buildFirstDirectionLineMatrix(double time, double dt, double theta, int x1Index, int x2Index)	Builds the tridiagonal matrix for the implicit solve in the first spatial direction on a fixed slice of the second and third state variables.
TridiagonalMatrix	ADI2DStencilBuilder.buildSecondDirectionLineMatrix(double time, double dt, double theta, int x0Index)	Performs the operation.
TridiagonalMatrix	ADI3DStencilBuilder.buildSecondDirectionLineMatrix(double time, double dt, double theta, int x0Index, int x2Index)	Builds the tridiagonal matrix for the implicit solve in the second spatial direction on a fixed slice of the first and third state variables.
TridiagonalMatrix	ADI3DStencilBuilder.buildThirdDirectionLineMatrix(double time, double dt, double theta, int x0Index, int x1Index)	Builds the tridiagonal matrix for the implicit solve in the third spatial direction on a fixed slice of the first and second state variables.

Methods in net.finmath.finitedifference.solvers.adi with parameters of type TridiagonalMatrix

Modifier and Type	Method	Description
protected void	FDMBarrierHestonADI2D.overwriteBarrierTraceRow(TridiagonalMatrix matrix, double[] rhs, int secondIndex, double runningTime)	Overwrites the barrier interface row in a first-direction tridiagonal system.
protected void	FDMBarrierSabrADI2D.overwriteBarrierTraceRow(TridiagonalMatrix matrix, double[] rhs, int secondIndex, double runningTime)	Overwrites the barrier interface row in a first-direction tridiagonal system.
protected void	AbstractADI2D.overwriteBoundaryRow(TridiagonalMatrix m, double[] rhs, int row, double value)
protected void	AbstractADI3D.overwriteBoundaryRow(TridiagonalMatrix m, double[] rhs, int row, double value)