QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
MakeFdCIRVanillaEngine Class Reference

#include <ql/pricingengines/vanilla/fdcirvanillaengine.hpp>

+ Collaboration diagram for MakeFdCIRVanillaEngine:

Public Member Functions

 MakeFdCIRVanillaEngine (ext::shared_ptr< CoxIngersollRossProcess > cirProcess, ext::shared_ptr< GeneralizedBlackScholesProcess > bsProcess, Real rho)
 
MakeFdCIRVanillaEnginewithQuantoHelper (const ext::shared_ptr< FdmQuantoHelper > &quantoHelper)
 
MakeFdCIRVanillaEnginewithTGrid (Size tGrid)
 
MakeFdCIRVanillaEnginewithXGrid (Size xGrid)
 
MakeFdCIRVanillaEnginewithRGrid (Size rGrid)
 
MakeFdCIRVanillaEnginewithDampingSteps (Size dampingSteps)
 
MakeFdCIRVanillaEnginewithFdmSchemeDesc (const FdmSchemeDesc &schemeDesc)
 
MakeFdCIRVanillaEnginewithCashDividends (const std::vector< Date > &dividendDates, const std::vector< Real > &dividendAmounts)
 
 operator ext::shared_ptr< PricingEngine > () const
 

Private Attributes

ext::shared_ptr< CoxIngersollRossProcesscirProcess_
 
ext::shared_ptr< GeneralizedBlackScholesProcessbsProcess_
 
DividendSchedule dividends_
 
bool explicitDividends_ = false
 
const Real rho_
 
Size tGrid_ = 10
 
Size xGrid_ = 100
 
Size rGrid_ = 100
 
Size dampingSteps_ = 0
 
ext::shared_ptr< FdmSchemeDescschemeDesc_
 
ext::shared_ptr< FdmQuantoHelperquantoHelper_
 

Detailed Description

Definition at line 85 of file fdcirvanillaengine.hpp.

Constructor & Destructor Documentation

◆ MakeFdCIRVanillaEngine()

MakeFdCIRVanillaEngine ( ext::shared_ptr< CoxIngersollRossProcess cirProcess,
ext::shared_ptr< GeneralizedBlackScholesProcess bsProcess,
Real  rho 
)
explicit

Definition at line 136 of file fdcirvanillaengine.cpp.

Member Function Documentation

◆ withQuantoHelper()

MakeFdCIRVanillaEngine & withQuantoHelper ( const ext::shared_ptr< FdmQuantoHelper > &  quantoHelper)

Definition at line 143 of file fdcirvanillaengine.cpp.

◆ withTGrid()

MakeFdCIRVanillaEngine & withTGrid ( Size  tGrid)

Definition at line 150 of file fdcirvanillaengine.cpp.

◆ withXGrid()

MakeFdCIRVanillaEngine & withXGrid ( Size  xGrid)

Definition at line 156 of file fdcirvanillaengine.cpp.

◆ withRGrid()

MakeFdCIRVanillaEngine & withRGrid ( Size  rGrid)

Definition at line 162 of file fdcirvanillaengine.cpp.

◆ withDampingSteps()

MakeFdCIRVanillaEngine & withDampingSteps ( Size  dampingSteps)

Definition at line 168 of file fdcirvanillaengine.cpp.

◆ withFdmSchemeDesc()

MakeFdCIRVanillaEngine & withFdmSchemeDesc ( const FdmSchemeDesc schemeDesc)

Definition at line 174 of file fdcirvanillaengine.cpp.

◆ withCashDividends()

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

Definition at line 181 of file fdcirvanillaengine.cpp.

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◆ operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine > ( ) const

Definition at line 189 of file fdcirvanillaengine.cpp.

Member Data Documentation

◆ cirProcess_

ext::shared_ptr<CoxIngersollRossProcess> cirProcess_
private

Definition at line 110 of file fdcirvanillaengine.hpp.

◆ bsProcess_

ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_
private

Definition at line 111 of file fdcirvanillaengine.hpp.

◆ dividends_

DividendSchedule dividends_
private

Definition at line 112 of file fdcirvanillaengine.hpp.

◆ explicitDividends_

bool explicitDividends_ = false
private

Definition at line 113 of file fdcirvanillaengine.hpp.

◆ rho_

const Real rho_
private

Definition at line 114 of file fdcirvanillaengine.hpp.

◆ tGrid_

Size tGrid_ = 10
private

Definition at line 115 of file fdcirvanillaengine.hpp.

◆ xGrid_

Size xGrid_ = 100
private

Definition at line 115 of file fdcirvanillaengine.hpp.

◆ rGrid_

Size rGrid_ = 100
private

Definition at line 115 of file fdcirvanillaengine.hpp.

◆ dampingSteps_

Size dampingSteps_ = 0
private

Definition at line 115 of file fdcirvanillaengine.hpp.

◆ schemeDesc_

ext::shared_ptr<FdmSchemeDesc> schemeDesc_
private

Definition at line 116 of file fdcirvanillaengine.hpp.

◆ quantoHelper_

ext::shared_ptr<FdmQuantoHelper> quantoHelper_
private

Definition at line 117 of file fdcirvanillaengine.hpp.