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fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | Private Attributes | List of all members
FdmSimple2dExtOUSolver Class Reference

#include <fdmsimple2dextousolver.hpp>

+ Inheritance diagram for FdmSimple2dExtOUSolver:
+ Collaboration diagram for FdmSimple2dExtOUSolver:

Public Member Functions

 FdmSimple2dExtOUSolver (const Handle< ExtendedOrnsteinUhlenbeckProcess > &process, ext::shared_ptr< YieldTermStructure > rTS, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
 
Real valueAt (Real x, Real y) const
 
- Public Member Functions inherited from LazyObject
 LazyObject ()
 
 ~LazyObject () override=default
 
void update () override
 
bool isCalculated () const
 
void forwardFirstNotificationOnly ()
 
void alwaysForwardNotifications ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- 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 ()
 

Protected Member Functions

void performCalculations () const override
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 

Private Attributes

const Handle< ExtendedOrnsteinUhlenbeckProcessprocess_
 
const ext::shared_ptr< YieldTermStructurerTS_
 
const FdmSolverDesc solverDesc_
 
const FdmSchemeDesc schemeDesc_
 
ext::shared_ptr< Fdm2DimSolversolver_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

Definition at line 40 of file fdmsimple2dextousolver.hpp.

Constructor & Destructor Documentation

◆ FdmSimple2dExtOUSolver()

FdmSimple2dExtOUSolver ( const Handle< ExtendedOrnsteinUhlenbeckProcess > &  process,
ext::shared_ptr< YieldTermStructure rTS,
FdmSolverDesc  solverDesc,
const FdmSchemeDesc schemeDesc = FdmSchemeDesc::Hundsdorfer() 
)

Definition at line 42 of file fdmsimple2dextousolver.hpp.

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Member Function Documentation

◆ valueAt()

Real valueAt ( Real  x,
Real  y 
) const

Definition at line 51 of file fdmsimple2dextousolver.hpp.

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◆ performCalculations()

void performCalculations ( ) const
overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 57 of file fdmsimple2dextousolver.hpp.

Member Data Documentation

◆ process_

const Handle<ExtendedOrnsteinUhlenbeckProcess> process_
private

Definition at line 68 of file fdmsimple2dextousolver.hpp.

◆ rTS_

const ext::shared_ptr<YieldTermStructure> rTS_
private

Definition at line 69 of file fdmsimple2dextousolver.hpp.

◆ solverDesc_

const FdmSolverDesc solverDesc_
private

Definition at line 70 of file fdmsimple2dextousolver.hpp.

◆ schemeDesc_

const FdmSchemeDesc schemeDesc_
private

Definition at line 71 of file fdmsimple2dextousolver.hpp.

◆ solver_

ext::shared_ptr<Fdm2DimSolver> solver_
mutableprivate

Definition at line 73 of file fdmsimple2dextousolver.hpp.