FdOrnsteinUhlenbeckVanillaEngine Class Reference

#include <fdornsteinuhlenbeckvanillaengine.hpp>

Inheritance diagram for FdOrnsteinUhlenbeckVanillaEngine:

Collaboration diagram for FdOrnsteinUhlenbeckVanillaEngine:

Public Member Functions
	FdOrnsteinUhlenbeckVanillaEngine (ext::shared_ptr< OrnsteinUhlenbeckProcess >, const ext::shared_ptr< YieldTermStructure > &rTS, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, Real epsilon=0.0001, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas())
	FdOrnsteinUhlenbeckVanillaEngine (ext::shared_ptr< OrnsteinUhlenbeckProcess >, const ext::shared_ptr< YieldTermStructure > &rTS, DividendSchedule dividends, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, Real epsilon=0.0001, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas())
void	calculate () const override

Private Attributes
const ext::shared_ptr< OrnsteinUhlenbeckProcess >	process_
const ext::shared_ptr< YieldTermStructure >	rTS_
DividendSchedule	dividends_
const Size	tGrid_
const Size	xGrid_
const Size	dampingSteps_
const Real	epsilon_
const FdmSchemeDesc	schemeDesc_

Detailed Description

Definition at line 36 of file fdornsteinuhlenbeckvanillaengine.hpp.

Constructor & Destructor Documentation

FdOrnsteinUhlenbeckVanillaEngine() [1/2]

FdOrnsteinUhlenbeckVanillaEngine	(	ext::shared_ptr< OrnsteinUhlenbeckProcess >	process,
		const ext::shared_ptr< YieldTermStructure > &	rTS,
		Size	tGrid = 100,
		Size	xGrid = 100,
		Size	dampingSteps = 0,
		Real	epsilon = 0.0001,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Douglas()
	)

Definition at line 60 of file fdornsteinuhlenbeckvanillaengine.cpp.

FdOrnsteinUhlenbeckVanillaEngine() [2/2]

FdOrnsteinUhlenbeckVanillaEngine	(	ext::shared_ptr< OrnsteinUhlenbeckProcess >	process,
		const ext::shared_ptr< YieldTermStructure > &	rTS,
		DividendSchedule	dividends,
		Size	tGrid = 100,
		Size	xGrid = 100,
		Size	dampingSteps = 0,
		Real	epsilon = 0.0001,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Douglas()
	)

Definition at line 74 of file fdornsteinuhlenbeckvanillaengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 90 of file fdornsteinuhlenbeckvanillaengine.cpp.

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Member Data Documentation

process_

const ext::shared_ptr<OrnsteinUhlenbeckProcess> process_

private

Definition at line 60 of file fdornsteinuhlenbeckvanillaengine.hpp.

rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

private

Definition at line 61 of file fdornsteinuhlenbeckvanillaengine.hpp.

dividends_

DividendSchedule dividends_

private

Definition at line 62 of file fdornsteinuhlenbeckvanillaengine.hpp.

tGrid_

const Size tGrid_

private

Definition at line 63 of file fdornsteinuhlenbeckvanillaengine.hpp.

xGrid_

const Size xGrid_

private

Definition at line 63 of file fdornsteinuhlenbeckvanillaengine.hpp.

dampingSteps_

const Size dampingSteps_

private

Definition at line 63 of file fdornsteinuhlenbeckvanillaengine.hpp.

epsilon_

const Real epsilon_

private

Definition at line 64 of file fdornsteinuhlenbeckvanillaengine.hpp.

schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 65 of file fdornsteinuhlenbeckvanillaengine.hpp.