QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | Private Attributes | List of all members
FdmSimple2dBSSolver Class Reference

#include <fdmsimple2dbssolver.hpp>

+ Inheritance diagram for FdmSimple2dBSSolver:
+ Collaboration diagram for FdmSimple2dBSSolver:

Public Member Functions

 FdmSimple2dBSSolver (Handle< GeneralizedBlackScholesProcess > process, Real strike, FdmSolverDesc desc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas())
 
Real valueAt (Real s, Real a) const
 
Real deltaAt (Real s, Real a, Real eps) const
 
Real gammaAt (Real s, Real a, Real eps) const
 
Real thetaAt (Real s, Real a) const
 
- Public Member Functions inherited from LazyObject
 LazyObject ()
 
 ~LazyObject () override=default
 
void update () override
 
bool isCalculated () const
 
void forwardFirstNotificationOnly ()
 
void alwaysForwardNotifications ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 

Protected Member Functions

void performCalculations () const override
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 

Private Attributes

Handle< GeneralizedBlackScholesProcessprocess_
 
const Real strike_
 
const FdmSolverDesc solverDesc_
 
const FdmSchemeDesc schemeDesc_
 
ext::shared_ptr< Fdm2DimSolversolver_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

Definition at line 37 of file fdmsimple2dbssolver.hpp.

Constructor & Destructor Documentation

◆ FdmSimple2dBSSolver()

Definition at line 31 of file fdmsimple2dbssolver.cpp.

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Member Function Documentation

◆ valueAt()

Real valueAt ( Real  s,
Real  a 
) const

Definition at line 48 of file fdmsimple2dbssolver.cpp.

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◆ deltaAt()

Real deltaAt ( Real  s,
Real  a,
Real  eps 
) const

Definition at line 53 of file fdmsimple2dbssolver.cpp.

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◆ gammaAt()

Real gammaAt ( Real  s,
Real  a,
Real  eps 
) const

Definition at line 57 of file fdmsimple2dbssolver.cpp.

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◆ thetaAt()

Real thetaAt ( Real  s,
Real  a 
) const

Definition at line 61 of file fdmsimple2dbssolver.cpp.

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◆ performCalculations()

void performCalculations ( ) const
overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 41 of file fdmsimple2dbssolver.cpp.

Member Data Documentation

◆ process_

Definition at line 53 of file fdmsimple2dbssolver.hpp.

◆ strike_

const Real strike_
private

Definition at line 54 of file fdmsimple2dbssolver.hpp.

◆ solverDesc_

const FdmSolverDesc solverDesc_
private

Definition at line 55 of file fdmsimple2dbssolver.hpp.

◆ schemeDesc_

const FdmSchemeDesc schemeDesc_
private

Definition at line 56 of file fdmsimple2dbssolver.hpp.

◆ solver_

ext::shared_ptr<Fdm2DimSolver> solver_
mutableprivate

Definition at line 58 of file fdmsimple2dbssolver.hpp.