QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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fdmvppstartlimitstepcondition.hpp
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2011, 2012 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
24#ifndef quantlib_fdm_vpp_start_limit_step_condition_hpp
25#define quantlib_fdm_vpp_start_limit_step_condition_hpp
26
27#include <ql/experimental/finitedifferences/fdmvppstepcondition.hpp>
28#include <ql/shared_ptr.hpp>
29#include <vector>
30
31namespace QuantLib {
32
34 public:
36 const FdmVPPStepConditionParams& params,
37 Size nStarts,
38 const FdmVPPStepConditionMesher& mesh,
39 const ext::shared_ptr<FdmInnerValueCalculator>& gasPrice,
40 const ext::shared_ptr<FdmInnerValueCalculator>& sparkSpreadPrice);
41
42 static Size nStates(Size tMinUp, Size tMinDown, Size nStarts);
43 Real maxValue(const Array& states) const override;
44
45 private:
46 Array changeState(Real gasPrice, const Array& state, Time t) const override;
47
49 };
50}
51
52#endif
1-D array used in linear algebra.
Definition: array.hpp:52
Array changeState(Real gasPrice, const Array &state, Time t) const override
Real maxValue(const Array &states) const override
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35