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

Packages that use TridiagonalMatrix
Package
Description
net.finmath.finitedifference.solvers
Package net.finmath.finitedifference.solvers.

  • 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.