FdmSimple2dBSSolver Class Reference

#include <ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp>

Inheritance diagram for FdmSimple2dBSSolver:

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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 &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (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< GeneralizedBlackScholesProcess >	process_
const Real	strike_
const FdmSolverDesc	solverDesc_
const FdmSchemeDesc	schemeDesc_
ext::shared_ptr< Fdm2DimSolver >	solver_

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()

FdmSimple2dBSSolver	(	Handle< GeneralizedBlackScholesProcess >	process,
		Real	strike,
		FdmSolverDesc	desc,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Douglas()
	)

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_

Handle<GeneralizedBlackScholesProcess> process_

private

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.