QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
methods
finitedifferences
meshers
fdmcev1dmesher.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2018 Klaus Spanderen
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file fdmcev1dmesher.hpp
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\brief One-dimensional mesher for the CEV model
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*/
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#ifndef quantlib_fdm_cev_1d_mesher_hpp
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#define quantlib_fdm_cev_1d_mesher_hpp
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#include <
ql/utilities/null.hpp
>
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#include <
ql/methods/finitedifferences/meshers/fdm1dmesher.hpp
>
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namespace
QuantLib
{
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class
FdmCEV1dMesher
:
public
Fdm1dMesher
{
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public
:
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FdmCEV1dMesher
(
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Size
size
,
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Real
f0,
Real
alpha
,
Real
beta
,
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Time
maturity,
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Real
eps = 0.0001,
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Real
scaleFactor = 1.5,
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const
std::pair<Real, Real>& cPoint
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= (std::pair<Real, Real>(
Null<Real>
(),
Null<Real>
())));
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};
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}
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#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
fdm1dmesher.hpp
One-dimensional simple FDM mesher object working on an index.
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
null.hpp
null values
beta
Real beta
Definition:
sabr.cpp:200
alpha
Real alpha
Definition:
sabr.cpp:200
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