FdG2SwaptionEngine Class Reference

#include <ql/pricingengines/swaption/fdg2swaptionengine.hpp>

Inheritance diagram for FdG2SwaptionEngine:

Collaboration diagram for FdG2SwaptionEngine:

Public Member Functions
	FdG2SwaptionEngine (const ext::shared_ptr< G2 > &model, Size tGrid=100, Size xGrid=50, Size yGrid=50, Size dampingSteps=0, Real invEps=1e-5, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
void	calculate () const override
Public Member Functions inherited from GenericModelEngine< G2, Swaption::arguments, Swaption::results >
	GenericModelEngine (Handle< G2 > model=Handle< G2 >())
	GenericModelEngine (const ext::shared_ptr< G2 > &model)
Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
virtual void	reset ()=0
virtual void	calculate () const =0
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 ()

Private Attributes
const Size	tGrid_
const Size	xGrid_
const Size	yGrid_
const Size	dampingSteps_
const Real	invEps_
const FdmSchemeDesc	schemeDesc_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericModelEngine< G2, Swaption::arguments, Swaption::results >
Handle< G2 >	model_
Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType	arguments_
ResultsType	results_

Detailed Description

Definition at line 34 of file fdg2swaptionengine.hpp.

Constructor & Destructor Documentation

FdG2SwaptionEngine()

FdG2SwaptionEngine ( const ext::shared_ptr< G2 > &  model, Size  tGrid = 100, Size  xGrid = 50, Size  yGrid = 50, Size  dampingSteps = 0, Real  invEps = 1e-5, const FdmSchemeDesc &  schemeDesc = FdmSchemeDesc::Hundsdorfer()  )

explicit

Definition at line 34 of file fdg2swaptionengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 48 of file fdg2swaptionengine.cpp.

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Member Data Documentation

tGrid_

const Size tGrid_

private

Definition at line 46 of file fdg2swaptionengine.hpp.

xGrid_

const Size xGrid_

private

Definition at line 46 of file fdg2swaptionengine.hpp.

yGrid_

const Size yGrid_

private

Definition at line 46 of file fdg2swaptionengine.hpp.

dampingSteps_

const Size dampingSteps_

private

Definition at line 46 of file fdg2swaptionengine.hpp.

invEps_

const Real invEps_

private

Definition at line 47 of file fdg2swaptionengine.hpp.

schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 48 of file fdg2swaptionengine.hpp.