MakeFdHestonVanillaEngine Class Reference

#include <fdhestonvanillaengine.hpp>

Collaboration diagram for MakeFdHestonVanillaEngine:

Public Member Functions
	MakeFdHestonVanillaEngine (ext::shared_ptr< HestonModel > hestonModel)
MakeFdHestonVanillaEngine &	withQuantoHelper (const ext::shared_ptr< FdmQuantoHelper > &quantoHelper)
MakeFdHestonVanillaEngine &	withTGrid (Size tGrid)
MakeFdHestonVanillaEngine &	withXGrid (Size xGrid)
MakeFdHestonVanillaEngine &	withVGrid (Size vGrid)
MakeFdHestonVanillaEngine &	withDampingSteps (Size dampingSteps)
MakeFdHestonVanillaEngine &	withFdmSchemeDesc (const FdmSchemeDesc &schemeDesc)
MakeFdHestonVanillaEngine &	withLeverageFunction (ext::shared_ptr< LocalVolTermStructure > &leverageFct)
MakeFdHestonVanillaEngine &	withCashDividends (const std::vector< Date > &dividendDates, const std::vector< Real > &dividendAmounts)
	operator ext::shared_ptr< PricingEngine > () const

Private Attributes
ext::shared_ptr< HestonModel >	hestonModel_
DividendSchedule	dividends_
Size	tGrid_ = 100
Size	xGrid_ = 100
Size	vGrid_ = 50
Size	dampingSteps_ = 0
ext::shared_ptr< FdmSchemeDesc >	schemeDesc_
ext::shared_ptr< LocalVolTermStructure >	leverageFct_
ext::shared_ptr< FdmQuantoHelper >	quantoHelper_

Detailed Description

Definition at line 116 of file fdhestonvanillaengine.hpp.

Constructor & Destructor Documentation

MakeFdHestonVanillaEngine()

MakeFdHestonVanillaEngine ( ext::shared_ptr< HestonModel >  hestonModel )

explicit

Definition at line 245 of file fdhestonvanillaengine.cpp.

Member Function Documentation

withQuantoHelper()

MakeFdHestonVanillaEngine & withQuantoHelper

(

const ext::shared_ptr< FdmQuantoHelper > &

quantoHelper

)

Definition at line 249 of file fdhestonvanillaengine.cpp.

withTGrid()

MakeFdHestonVanillaEngine & withTGrid

(

Size

tGrid

)

Definition at line 256 of file fdhestonvanillaengine.cpp.

withXGrid()

MakeFdHestonVanillaEngine & withXGrid

(

Size

xGrid

)

Definition at line 262 of file fdhestonvanillaengine.cpp.

withVGrid()

MakeFdHestonVanillaEngine & withVGrid

(

Size

vGrid

)

Definition at line 268 of file fdhestonvanillaengine.cpp.

withDampingSteps()

MakeFdHestonVanillaEngine & withDampingSteps

(

Size

dampingSteps

)

Definition at line 274 of file fdhestonvanillaengine.cpp.

withFdmSchemeDesc()

MakeFdHestonVanillaEngine & withFdmSchemeDesc

(

const FdmSchemeDesc &

schemeDesc

)

Definition at line 280 of file fdhestonvanillaengine.cpp.

withLeverageFunction()

MakeFdHestonVanillaEngine & withLeverageFunction

(

ext::shared_ptr< LocalVolTermStructure > &

leverageFct

)

Definition at line 287 of file fdhestonvanillaengine.cpp.

withCashDividends()

MakeFdHestonVanillaEngine & withCashDividends	(	const std::vector< Date > &	dividendDates,
		const std::vector< Real > &	dividendAmounts
	)

Definition at line 294 of file fdhestonvanillaengine.cpp.

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operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

(

)

const

Definition at line 301 of file fdhestonvanillaengine.cpp.

Member Data Documentation

hestonModel_

ext::shared_ptr<HestonModel> hestonModel_

private

Definition at line 142 of file fdhestonvanillaengine.hpp.

dividends_

DividendSchedule dividends_

private

Definition at line 143 of file fdhestonvanillaengine.hpp.

tGrid_

Size tGrid_ = 100

private

Definition at line 144 of file fdhestonvanillaengine.hpp.

xGrid_

Size xGrid_ = 100

private

Definition at line 144 of file fdhestonvanillaengine.hpp.

vGrid_

Size vGrid_ = 50

private

Definition at line 144 of file fdhestonvanillaengine.hpp.

dampingSteps_

Size dampingSteps_ = 0

private

Definition at line 144 of file fdhestonvanillaengine.hpp.

schemeDesc_

ext::shared_ptr<FdmSchemeDesc> schemeDesc_

private

Definition at line 145 of file fdhestonvanillaengine.hpp.

leverageFct_

ext::shared_ptr<LocalVolTermStructure> leverageFct_

private

Definition at line 146 of file fdhestonvanillaengine.hpp.

quantoHelper_

ext::shared_ptr<FdmQuantoHelper> quantoHelper_

private

Definition at line 147 of file fdhestonvanillaengine.hpp.