QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <normalclvmodel.hpp>
Classes | |
class | MappingFunction |
Public Member Functions | |
NormalCLVModel (const ext::shared_ptr< GeneralizedBlackScholesProcess > &bsProcess, ext::shared_ptr< OrnsteinUhlenbeckProcess > ouProcess, const std::vector< Date > &maturityDates, Size lagrangeOrder, Real pMax=Null< Real >(), Real pMin=Null< Real >()) | |
Real | cdf (const Date &d, Real x) const |
Real | invCDF (const Date &d, Real q) const |
Array | collocationPointsX (const Date &d) const |
Array | collocationPointsY (const Date &d) const |
ext::function< Real(Time, Real)> | g () 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 | |
const Array | x_ |
const Volatility | sigma_ |
const ext::shared_ptr< GeneralizedBlackScholesProcess > | bsProcess_ |
const ext::shared_ptr< OrnsteinUhlenbeckProcess > | ouProcess_ |
const std::vector< Date > | maturityDates_ |
const ext::shared_ptr< GBSMRNDCalculator > | rndCalculator_ |
std::vector< Time > | maturityTimes_ |
ext::function< Real(Time, Real)> | g_ |
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_ |
Definition at line 48 of file normalclvmodel.hpp.
NormalCLVModel | ( | const ext::shared_ptr< GeneralizedBlackScholesProcess > & | bsProcess, |
ext::shared_ptr< OrnsteinUhlenbeckProcess > | ouProcess, | ||
const std::vector< Date > & | maturityDates, | ||
Size | lagrangeOrder, | ||
Real | pMax = Null<Real>() , |
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Real | pMin = Null<Real>() |
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Definition at line 63 of file normalclvmodel.cpp.
Definition at line 72 of file normalclvmodel.cpp.
Definition at line 83 of file normalclvmodel.cpp.
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overrideprotectedvirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 134 of file normalclvmodel.cpp.
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private |
Definition at line 106 of file normalclvmodel.hpp.
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private |
Definition at line 107 of file normalclvmodel.hpp.
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Definition at line 108 of file normalclvmodel.hpp.
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Definition at line 109 of file normalclvmodel.hpp.
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Definition at line 110 of file normalclvmodel.hpp.
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Definition at line 111 of file normalclvmodel.hpp.
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private |
Definition at line 113 of file normalclvmodel.hpp.
Definition at line 114 of file normalclvmodel.hpp.