FdmSimple2dExtOUSolver Class Reference

#include <ql/experimental/finitedifferences/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 &)
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 ()

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

Private Attributes
const Handle< ExtendedOrnsteinUhlenbeckProcess >	process_
const ext::shared_ptr< YieldTermStructure >	rTS_
const FdmSolverDesc	solverDesc_
const FdmSchemeDesc	schemeDesc_
ext::shared_ptr< Fdm2DimSolver >	solver_

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.

Here is the call graph for this function:

Member Function Documentation

valueAt()

Real valueAt	(	Real	x,
		Real	y
	)		const

Definition at line 51 of file fdmsimple2dextousolver.hpp.

Here is the call graph for this function:

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.