QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | Private Attributes | List of all members
FdmBatesSolver Class Reference

#include <fdmbatessolver.hpp>

+ Inheritance diagram for FdmBatesSolver:
+ Collaboration diagram for FdmBatesSolver:

Public Member Functions

 FdmBatesSolver (Handle< BatesProcess > process, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), Size integroIntegrationOrder=12, Handle< FdmQuantoHelper > quantoHelper=Handle< FdmQuantoHelper >())
 
Real valueAt (Real s, Real v) const
 
Real thetaAt (Real s, Real v) const
 
Real deltaAt (Real s, Real v) const
 
Real gammaAt (Real s, Real v) 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< BatesProcessprocess_
 
const FdmSolverDesc solverDesc_
 
const FdmSchemeDesc schemeDesc_
 
const Size integroIntegrationOrder_
 
const Handle< FdmQuantoHelperquantoHelper_
 
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 37 of file fdmbatessolver.hpp.

Constructor & Destructor Documentation

◆ FdmBatesSolver()

FdmBatesSolver ( Handle< BatesProcess process,
FdmSolverDesc  solverDesc,
const FdmSchemeDesc schemeDesc = FdmSchemeDesc::Hundsdorfer(),
Size  integroIntegrationOrder = 12,
Handle< FdmQuantoHelper quantoHelper = Handle<FdmQuantoHelper>() 
)

Definition at line 32 of file fdmbatessolver.cpp.

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Member Function Documentation

◆ valueAt()

Real valueAt ( Real  s,
Real  v 
) const

Definition at line 55 of file fdmbatessolver.cpp.

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◆ thetaAt()

Real thetaAt ( Real  s,
Real  v 
) const

Definition at line 71 of file fdmbatessolver.cpp.

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◆ deltaAt()

Real deltaAt ( Real  s,
Real  v 
) const

Definition at line 60 of file fdmbatessolver.cpp.

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◆ gammaAt()

Real gammaAt ( Real  s,
Real  v 
) const

Definition at line 65 of file fdmbatessolver.cpp.

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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 43 of file fdmbatessolver.cpp.

Member Data Documentation

◆ process_

const Handle<BatesProcess> process_
private

Definition at line 60 of file fdmbatessolver.hpp.

◆ solverDesc_

const FdmSolverDesc solverDesc_
private

Definition at line 61 of file fdmbatessolver.hpp.

◆ schemeDesc_

const FdmSchemeDesc schemeDesc_
private

Definition at line 62 of file fdmbatessolver.hpp.

◆ integroIntegrationOrder_

const Size integroIntegrationOrder_
private

Definition at line 63 of file fdmbatessolver.hpp.

◆ quantoHelper_

const Handle<FdmQuantoHelper> quantoHelper_
private

Definition at line 64 of file fdmbatessolver.hpp.

◆ solver_

ext::shared_ptr<Fdm2DimSolver> solver_
mutableprivate

Definition at line 66 of file fdmbatessolver.hpp.