#include <ql/experimental/finitedifferences/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

Public Member Functions inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

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 ()

Private Attributes
const ext::shared_ptr< OrnsteinUhlenbeckProcess >	process_

const ext::shared_ptr< YieldTermStructure >	rTS_

DividendSchedule	dividends_

bool	explicitDividends_

const Size	tGrid_

const Size	xGrid_

const Size	dampingSteps_

const Real	epsilon_

const FdmSchemeDesc	schemeDesc_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >
DividendVanillaOption::arguments	arguments_

DividendVanillaOption::results	results_

Detailed Description

Definition at line 38 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.

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◆ 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()`
	)