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

#include <ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp>

+ Inheritance diagram for DynProgVPPIntrinsicValueEngine:
+ Collaboration diagram for DynProgVPPIntrinsicValueEngine:

Public Member Functions

 DynProgVPPIntrinsicValueEngine (std::vector< Real > fuelPrices, std::vector< Real > powerPrices, Real fuelCostAddon, ext::shared_ptr< YieldTermStructure > rTS)
 
void calculate () const override
 
- Public Member Functions inherited from GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 std::vector< RealfuelPrices_
 
const std::vector< RealpowerPrices_
 
const Real fuelCostAddon_
 
const ext::shared_ptr< YieldTermStructurerTS_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results >
VanillaVPPOption::arguments arguments_
 
VanillaVPPOption::results results_
 

Detailed Description

Definition at line 35 of file dynprogvppintrinsicvalueengine.hpp.

Constructor & Destructor Documentation

◆ DynProgVPPIntrinsicValueEngine()

DynProgVPPIntrinsicValueEngine ( std::vector< Real fuelPrices,
std::vector< Real powerPrices,
Real  fuelCostAddon,
ext::shared_ptr< YieldTermStructure rTS 
)

Definition at line 79 of file dynprogvppintrinsicvalueengine.cpp.

Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 87 of file dynprogvppintrinsicvalueengine.cpp.

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Member Data Documentation

◆ fuelPrices_

const std::vector<Real> fuelPrices_
private

Definition at line 47 of file dynprogvppintrinsicvalueengine.hpp.

◆ powerPrices_

const std::vector<Real> powerPrices_
private

Definition at line 48 of file dynprogvppintrinsicvalueengine.hpp.

◆ fuelCostAddon_

const Real fuelCostAddon_
private

Definition at line 49 of file dynprogvppintrinsicvalueengine.hpp.

◆ rTS_

const ext::shared_ptr<YieldTermStructure> rTS_
private

Definition at line 50 of file dynprogvppintrinsicvalueengine.hpp.