QuantLib: a free/open-source library for quantitative finance
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fdmcev1dmesher.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2018 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file fdmcev1dmesher.hpp
21 \brief One-dimensional mesher for the CEV model
22*/
23
24#ifndef quantlib_fdm_cev_1d_mesher_hpp
25#define quantlib_fdm_cev_1d_mesher_hpp
26
27#include <ql/utilities/null.hpp>
29
30namespace QuantLib {
31
32 class FdmCEV1dMesher : public Fdm1dMesher {
33 public:
35 Size size,
36 Real f0, Real alpha, Real beta,
37 Time maturity,
38 Real eps = 0.0001,
39 Real scaleFactor = 1.5,
40 const std::pair<Real, Real>& cPoint
41 = (std::pair<Real, Real>(Null<Real>(), Null<Real>())));
42 };
43}
44
45#endif
template class providing a null value for a given type.
Definition: null.hpp:76
One-dimensional simple FDM mesher object working on an index.
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
null values
Real beta
Definition: sabr.cpp:200
Real alpha
Definition: sabr.cpp:200