FdmLogBasketInnerValue Class Reference

#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>

Inheritance diagram for FdmLogBasketInnerValue:

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Public Member Functions
	FdmLogBasketInnerValue (ext::shared_ptr< BasketPayoff > payoff, ext::shared_ptr< FdmMesher > mesher)
Real	innerValue (const FdmLinearOpIterator &iter, Time) override
Real	avgInnerValue (const FdmLinearOpIterator &iter, Time) override
Public Member Functions inherited from FdmInnerValueCalculator
virtual	~FdmInnerValueCalculator ()=default
virtual Real	innerValue (const FdmLinearOpIterator &iter, Time t)=0
virtual Real	avgInnerValue (const FdmLinearOpIterator &iter, Time t)=0

Private Attributes
const ext::shared_ptr< BasketPayoff >	payoff_
const ext::shared_ptr< FdmMesher >	mesher_

Detailed Description

Definition at line 80 of file fdminnervaluecalculator.hpp.

Constructor & Destructor Documentation

FdmLogBasketInnerValue()

FdmLogBasketInnerValue	(	ext::shared_ptr< BasketPayoff >	payoff,
		ext::shared_ptr< FdmMesher >	mesher
	)

Definition at line 117 of file fdminnervaluecalculator.cpp.

Member Function Documentation

innerValue()

Real innerValue ( const FdmLinearOpIterator &  iter, Time    )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 121 of file fdminnervaluecalculator.cpp.

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avgInnerValue()

Real avgInnerValue ( const FdmLinearOpIterator &  iter, Time  t  )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 132 of file fdminnervaluecalculator.cpp.

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Member Data Documentation

payoff_

const ext::shared_ptr<BasketPayoff> payoff_

private

Definition at line 89 of file fdminnervaluecalculator.hpp.

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 90 of file fdminnervaluecalculator.hpp.