FdSabrVanillaEngine Class Reference

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

Inheritance diagram for FdSabrVanillaEngine:

Collaboration diagram for FdSabrVanillaEngine:

Public Member Functions
	FdSabrVanillaEngine (Real f0, Real alpha, Real beta, Real nu, Real rho, Handle< YieldTermStructure > rTS, Size tGrid=50, Size fGrid=400, Size xGrid=50, Size dampingSteps=0, Real scalingFactor=1.0, Real eps=1e-4, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
void	calculate () const override

Private Attributes
const Real	f0_
const Real	alpha_
const Real	beta_
const Real	nu_
const Real	rho_
const Handle< YieldTermStructure >	rTS_
const Size	tGrid_
const Size	fGrid_
const Size	xGrid_
const Size	dampingSteps_
const Real	scalingFactor_
const Real	eps_
const FdmSchemeDesc	schemeDesc_

Detailed Description

Definition at line 34 of file fdsabrvanillaengine.hpp.

Constructor & Destructor Documentation

FdSabrVanillaEngine()

FdSabrVanillaEngine	(	Real	f0,
		Real	alpha,
		Real	beta,
		Real	nu,
		Real	rho,
		Handle< YieldTermStructure >	rTS,
		Size	tGrid = 50,
		Size	fGrid = 400,
		Size	xGrid = 50,
		Size	dampingSteps = 0,
		Real	scalingFactor = 1.0,
		Real	eps = 1e-4,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Hundsdorfer()
	)

Definition at line 40 of file fdsabrvanillaengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 65 of file fdsabrvanillaengine.cpp.

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Member Data Documentation

f0_

const Real f0_

private

Definition at line 53 of file fdsabrvanillaengine.hpp.

alpha_

const Real alpha_

private

Definition at line 53 of file fdsabrvanillaengine.hpp.

beta_

const Real beta_

private

Definition at line 53 of file fdsabrvanillaengine.hpp.

nu_

const Real nu_

private

Definition at line 53 of file fdsabrvanillaengine.hpp.

rho_

const Real rho_

private

Definition at line 53 of file fdsabrvanillaengine.hpp.

rTS_

const Handle<YieldTermStructure> rTS_

private

Definition at line 54 of file fdsabrvanillaengine.hpp.

tGrid_

const Size tGrid_

private

Definition at line 55 of file fdsabrvanillaengine.hpp.

fGrid_

const Size fGrid_

private

Definition at line 55 of file fdsabrvanillaengine.hpp.

xGrid_

const Size xGrid_

private

Definition at line 55 of file fdsabrvanillaengine.hpp.

dampingSteps_

const Size dampingSteps_

private

Definition at line 55 of file fdsabrvanillaengine.hpp.

scalingFactor_

const Real scalingFactor_

private

Definition at line 56 of file fdsabrvanillaengine.hpp.

eps_

const Real eps_

private

Definition at line 56 of file fdsabrvanillaengine.hpp.

schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 57 of file fdsabrvanillaengine.hpp.