QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
Loading...
Searching...
No Matches
ql
methods
finitedifferences
meshers
fdmcev1dmesher.hpp
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
24
#ifndef quantlib_fdm_cev_1d_mesher_hpp
25
#define quantlib_fdm_cev_1d_mesher_hpp
26
27
#include <ql/utilities/null.hpp>
28
#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
29
30
namespace
QuantLib
{
31
32
class
FdmCEV1dMesher
:
public
Fdm1dMesher
{
33
public
:
34
FdmCEV1dMesher
(
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
QuantLib::Fdm1dMesher
Definition:
fdm1dmesher.hpp:34
QuantLib::Fdm1dMesher::size
Size size() const
Definition:
fdm1dmesher.hpp:40
QuantLib::FdmCEV1dMesher
Definition:
fdmcev1dmesher.hpp:32
QuantLib::Null
template class providing a null value for a given type.
Definition:
null.hpp:76
QuantLib::Time
Real Time
continuous quantity with 1-year units
Definition:
types.hpp:62
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
Generated by
Doxygen
1.9.5