QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
finitedifferences
fdmvppstartlimitstepcondition.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2011, 2012 Klaus Spanderen
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file fdmvppstartlimitstepcondition.hpp
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\brief VPP incl start limit step condition for FD models
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*/
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#ifndef quantlib_fdm_vpp_start_limit_step_condition_hpp
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#define quantlib_fdm_vpp_start_limit_step_condition_hpp
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#include <
ql/experimental/finitedifferences/fdmvppstepcondition.hpp
>
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#include <
ql/shared_ptr.hpp
>
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#include <vector>
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namespace
QuantLib
{
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class
FdmVPPStartLimitStepCondition
:
public
FdmVPPStepCondition
{
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public
:
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FdmVPPStartLimitStepCondition
(
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const
FdmVPPStepConditionParams
& params,
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Size
nStarts,
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const
FdmVPPStepConditionMesher
& mesh,
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const
ext::shared_ptr<FdmInnerValueCalculator>& gasPrice,
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const
ext::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice);
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static
Size
nStates
(
Size
tMinUp,
Size
tMinDown,
Size
nStarts);
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Real
maxValue
(
const
Array
& states)
const override
;
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private
:
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Array
changeState
(
Real
gasPrice,
const
Array
& state,
Time
t
)
const override
;
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const
Size
nStarts_
;
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};
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}
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#endif
QuantLib::Array
1-D array used in linear algebra.
Definition:
array.hpp:52
QuantLib::FdmVPPStartLimitStepCondition
Definition:
fdmvppstartlimitstepcondition.hpp:33
QuantLib::FdmVPPStartLimitStepCondition::changeState
Array changeState(Real gasPrice, const Array &state, Time t) const override
Definition:
fdmvppstartlimitstepcondition.cpp:47
QuantLib::FdmVPPStartLimitStepCondition::maxValue
Real maxValue(const Array &states) const override
Definition:
fdmvppstartlimitstepcondition.cpp:95
QuantLib::FdmVPPStartLimitStepCondition::nStarts_
const Size nStarts_
Definition:
fdmvppstartlimitstepcondition.hpp:48
QuantLib::FdmVPPStepCondition
Definition:
fdmvppstepcondition.hpp:51
QuantLib::FdmVPPStepCondition::nStates
Size nStates() const
Definition:
fdmvppstepcondition.cpp:61
t
const DefaultType & t
Definition:
defaultprobabilitykey.cpp:39
fdmvppstepcondition.hpp
VPP step condition for FD models.
QuantLib::Time
Real Time
continuous quantity with 1-year units
Definition:
types.hpp:62
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
shared_ptr.hpp
Maps shared_ptr to either the boost or std implementation.
QuantLib::FdmVPPStepConditionMesher
Definition:
fdmvppstepcondition.hpp:46
QuantLib::FdmVPPStepConditionParams
Definition:
fdmvppstepcondition.hpp:38
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