QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
FdmLogBasketInnerValue Class Reference

#include <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< BasketPayoffpayoff_
 
const ext::shared_ptr< FdmMeshermesher_
 

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.