QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdminnervaluecalculator.hpp>
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_ |
Definition at line 80 of file fdminnervaluecalculator.hpp.
FdmLogBasketInnerValue | ( | ext::shared_ptr< BasketPayoff > | payoff, |
ext::shared_ptr< FdmMesher > | mesher | ||
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Definition at line 117 of file fdminnervaluecalculator.cpp.
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overridevirtual |
Implements FdmInnerValueCalculator.
Definition at line 121 of file fdminnervaluecalculator.cpp.
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overridevirtual |
Implements FdmInnerValueCalculator.
Definition at line 132 of file fdminnervaluecalculator.cpp.
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private |
Definition at line 89 of file fdminnervaluecalculator.hpp.
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private |
Definition at line 90 of file fdminnervaluecalculator.hpp.