FdmAffineModelSwapInnerValue< ModelType > Class Template Reference

#include <fdmaffinemodelswapinnervalue.hpp>

Inheritance diagram for FdmAffineModelSwapInnerValue< ModelType >:

Collaboration diagram for FdmAffineModelSwapInnerValue< ModelType >:

Public Member Functions
	FdmAffineModelSwapInnerValue (ext::shared_ptr< ModelType > disModel, ext::shared_ptr< ModelType > fwdModel, const ext::shared_ptr< FixedVsFloatingSwap > &swap, std::map< Time, Date > exerciseDates, ext::shared_ptr< FdmMesher > mesher, Size direction)
Real	innerValue (const FdmLinearOpIterator &iter, Time t) override
Real	avgInnerValue (const FdmLinearOpIterator &iter, Time t) override
Public Member Functions inherited from FdmInnerValueCalculator
virtual	~FdmInnerValueCalculator ()=default
virtual Real	innerValue (const FdmLinearOpIterator &iter, Time t)=0
virtual Real	avgInnerValue (const FdmLinearOpIterator &iter, Time t)=0

Private Member Functions
Array	getState (const ext::shared_ptr< ModelType > &model, Time t, const FdmLinearOpIterator &iter) const
Array	getState (const ext::shared_ptr< HullWhite > &model, Time t, const FdmLinearOpIterator &iter) const
Array	getState (const ext::shared_ptr< G2 > &, Time, const FdmLinearOpIterator &iter) const

Private Attributes
RelinkableHandle< YieldTermStructure >	disTs_
RelinkableHandle< YieldTermStructure >	fwdTs_
const ext::shared_ptr< ModelType >	disModel_
const ext::shared_ptr< ModelType >	fwdModel_
const ext::shared_ptr< IborIndex >	index_
const ext::shared_ptr< FixedVsFloatingSwap >	swap_
const std::map< Time, Date >	exerciseDates_
const ext::shared_ptr< FdmMesher >	mesher_
const Size	direction_

Detailed Description

template<class ModelType>
class QuantLib::FdmAffineModelSwapInnerValue< ModelType >

Definition at line 40 of file fdmaffinemodelswapinnervalue.hpp.

Constructor & Destructor Documentation

FdmAffineModelSwapInnerValue()

FdmAffineModelSwapInnerValue	(	ext::shared_ptr< ModelType >	disModel,
		ext::shared_ptr< ModelType >	fwdModel,
		const ext::shared_ptr< FixedVsFloatingSwap > &	swap,
		std::map< Time, Date >	exerciseDates,
		ext::shared_ptr< FdmMesher >	mesher,
		Size	direction
	)

Definition at line 68 of file fdmaffinemodelswapinnervalue.hpp.

Member Function Documentation

innerValue()

Real innerValue ( const FdmLinearOpIterator &  iter, Time  t  )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 89 of file fdmaffinemodelswapinnervalue.hpp.

avgInnerValue()

Real avgInnerValue ( const FdmLinearOpIterator &  iter, Time  t  )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 142 of file fdmaffinemodelswapinnervalue.hpp.

getState() [1/3]

Array getState ( const ext::shared_ptr< ModelType > &  model, Time  t, const FdmLinearOpIterator &  iter  ) const

private

getState() [2/3]

Array getState ( const ext::shared_ptr< HullWhite > &  model, Time  t, const FdmLinearOpIterator &  iter  ) const

private

Definition at line 30 of file fdmaffinemodelswapinnervalue.cpp.

getState() [3/3]

Array getState ( const ext::shared_ptr< G2 > &  , Time  , const FdmLinearOpIterator &  iter  ) const

private

Definition at line 38 of file fdmaffinemodelswapinnervalue.cpp.

Member Data Documentation

disTs_

RelinkableHandle<YieldTermStructure> disTs_

private

Definition at line 57 of file fdmaffinemodelswapinnervalue.hpp.

fwdTs_

RelinkableHandle<YieldTermStructure> fwdTs_

private

Definition at line 57 of file fdmaffinemodelswapinnervalue.hpp.

disModel_

const ext::shared_ptr<ModelType> disModel_

private

Definition at line 58 of file fdmaffinemodelswapinnervalue.hpp.

fwdModel_

const ext::shared_ptr<ModelType> fwdModel_

private

Definition at line 58 of file fdmaffinemodelswapinnervalue.hpp.

index_

const ext::shared_ptr<IborIndex> index_

private

Definition at line 60 of file fdmaffinemodelswapinnervalue.hpp.

swap_

const ext::shared_ptr<FixedVsFloatingSwap> swap_

private

Definition at line 61 of file fdmaffinemodelswapinnervalue.hpp.

exerciseDates_

const std::map<Time, Date> exerciseDates_

private

Definition at line 62 of file fdmaffinemodelswapinnervalue.hpp.

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 63 of file fdmaffinemodelswapinnervalue.hpp.

direction_

const Size direction_

private

Definition at line 64 of file fdmaffinemodelswapinnervalue.hpp.