QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/pricingengines/vanilla/fdcirvanillaengine.hpp>
Public Member Functions | |
MakeFdCIRVanillaEngine (ext::shared_ptr< CoxIngersollRossProcess > cirProcess, ext::shared_ptr< GeneralizedBlackScholesProcess > bsProcess, Real rho) | |
MakeFdCIRVanillaEngine & | withQuantoHelper (const ext::shared_ptr< FdmQuantoHelper > &quantoHelper) |
MakeFdCIRVanillaEngine & | withTGrid (Size tGrid) |
MakeFdCIRVanillaEngine & | withXGrid (Size xGrid) |
MakeFdCIRVanillaEngine & | withRGrid (Size rGrid) |
MakeFdCIRVanillaEngine & | withDampingSteps (Size dampingSteps) |
MakeFdCIRVanillaEngine & | withFdmSchemeDesc (const FdmSchemeDesc &schemeDesc) |
MakeFdCIRVanillaEngine & | withCashDividends (const std::vector< Date > ÷ndDates, const std::vector< Real > ÷ndAmounts) |
operator ext::shared_ptr< PricingEngine > () const | |
Private Attributes | |
ext::shared_ptr< CoxIngersollRossProcess > | cirProcess_ |
ext::shared_ptr< GeneralizedBlackScholesProcess > | bsProcess_ |
DividendSchedule | dividends_ |
bool | explicitDividends_ = false |
const Real | rho_ |
Size | tGrid_ = 10 |
Size | xGrid_ = 100 |
Size | rGrid_ = 100 |
Size | dampingSteps_ = 0 |
ext::shared_ptr< FdmSchemeDesc > | schemeDesc_ |
ext::shared_ptr< FdmQuantoHelper > | quantoHelper_ |
Definition at line 85 of file fdcirvanillaengine.hpp.
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explicit |
Definition at line 136 of file fdcirvanillaengine.cpp.
MakeFdCIRVanillaEngine & withQuantoHelper | ( | const ext::shared_ptr< FdmQuantoHelper > & | quantoHelper | ) |
Definition at line 143 of file fdcirvanillaengine.cpp.
MakeFdCIRVanillaEngine & withTGrid | ( | Size | tGrid | ) |
Definition at line 150 of file fdcirvanillaengine.cpp.
MakeFdCIRVanillaEngine & withXGrid | ( | Size | xGrid | ) |
Definition at line 156 of file fdcirvanillaengine.cpp.
MakeFdCIRVanillaEngine & withRGrid | ( | Size | rGrid | ) |
Definition at line 162 of file fdcirvanillaengine.cpp.
MakeFdCIRVanillaEngine & withDampingSteps | ( | Size | dampingSteps | ) |
Definition at line 168 of file fdcirvanillaengine.cpp.
MakeFdCIRVanillaEngine & withFdmSchemeDesc | ( | const FdmSchemeDesc & | schemeDesc | ) |
Definition at line 174 of file fdcirvanillaengine.cpp.
MakeFdCIRVanillaEngine & withCashDividends | ( | const std::vector< Date > & | dividendDates, |
const std::vector< Real > & | dividendAmounts | ||
) |
operator ext::shared_ptr< PricingEngine > | ( | ) | const |
Definition at line 189 of file fdcirvanillaengine.cpp.
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private |
Definition at line 110 of file fdcirvanillaengine.hpp.
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private |
Definition at line 111 of file fdcirvanillaengine.hpp.
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private |
Definition at line 112 of file fdcirvanillaengine.hpp.
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private |
Definition at line 113 of file fdcirvanillaengine.hpp.
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private |
Definition at line 114 of file fdcirvanillaengine.hpp.
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private |
Definition at line 115 of file fdcirvanillaengine.hpp.
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private |
Definition at line 115 of file fdcirvanillaengine.hpp.
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private |
Definition at line 115 of file fdcirvanillaengine.hpp.
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private |
Definition at line 115 of file fdcirvanillaengine.hpp.
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private |
Definition at line 116 of file fdcirvanillaengine.hpp.
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private |
Definition at line 117 of file fdcirvanillaengine.hpp.