QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp>
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::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 std::vector< Real > | fuelPrices_ |
const std::vector< Real > | powerPrices_ |
const Real | fuelCostAddon_ |
const ext::shared_ptr< YieldTermStructure > | rTS_ |
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_ |
Definition at line 35 of file dynprogvppintrinsicvalueengine.hpp.
DynProgVPPIntrinsicValueEngine | ( | std::vector< Real > | fuelPrices, |
std::vector< Real > | powerPrices, | ||
Real | fuelCostAddon, | ||
ext::shared_ptr< YieldTermStructure > | rTS | ||
) |
Definition at line 79 of file dynprogvppintrinsicvalueengine.cpp.
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overridevirtual |
Implements PricingEngine.
Definition at line 87 of file dynprogvppintrinsicvalueengine.cpp.
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private |
Definition at line 47 of file dynprogvppintrinsicvalueengine.hpp.
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private |
Definition at line 48 of file dynprogvppintrinsicvalueengine.hpp.
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private |
Definition at line 49 of file dynprogvppintrinsicvalueengine.hpp.
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private |
Definition at line 50 of file dynprogvppintrinsicvalueengine.hpp.