FdmShoutLogInnerValueCalculator Class Reference

#include <ql/methods/finitedifferences/utilities/fdmshoutloginnervaluecalculator.hpp>

Inheritance diagram for FdmShoutLogInnerValueCalculator:

Collaboration diagram for FdmShoutLogInnerValueCalculator:

Public Member Functions
	FdmShoutLogInnerValueCalculator (Handle< BlackVolTermStructure > blackVolatility, ext::shared_ptr< EscrowedDividendAdjustment > escrowedDividendAdj, Time maturity, ext::shared_ptr< PlainVanillaPayoff > payoff, ext::shared_ptr< FdmMesher > mesher, Size direction)
Real	innerValue (const FdmLinearOpIterator &iter, Time t) override
Real	avgInnerValue (const FdmLinearOpIterator &iter, Time t) override
Public Member Functions inherited from FdmInnerValueCalculator
virtual	~FdmInnerValueCalculator ()=default
virtual Real	innerValue (const FdmLinearOpIterator &iter, Time t)=0
virtual Real	avgInnerValue (const FdmLinearOpIterator &iter, Time t)=0

Private Attributes
const Handle< BlackVolTermStructure >	blackVolatility_
const ext::shared_ptr< EscrowedDividendAdjustment >	escrowedDividendAdj_
const Time	maturity_
const ext::shared_ptr< PlainVanillaPayoff >	payoff_
const ext::shared_ptr< FdmMesher >	mesher_
const Size	direction_

Detailed Description

Definition at line 36 of file fdmshoutloginnervaluecalculator.hpp.

Constructor & Destructor Documentation

FdmShoutLogInnerValueCalculator()

FdmShoutLogInnerValueCalculator	(	Handle< BlackVolTermStructure >	blackVolatility,
		ext::shared_ptr< EscrowedDividendAdjustment >	escrowedDividendAdj,
		Time	maturity,
		ext::shared_ptr< PlainVanillaPayoff >	payoff,
		ext::shared_ptr< FdmMesher >	mesher,
		Size	direction
	)

Definition at line 34 of file fdmshoutloginnervaluecalculator.cpp.

Member Function Documentation

innerValue()

Real innerValue ( const FdmLinearOpIterator &  iter, Time  t  )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 47 of file fdmshoutloginnervaluecalculator.cpp.

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avgInnerValue()

Real avgInnerValue ( const FdmLinearOpIterator &  iter, Time  t  )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 75 of file fdmshoutloginnervaluecalculator.cpp.

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Member Data Documentation

blackVolatility_

const Handle<BlackVolTermStructure> blackVolatility_

private

Definition at line 50 of file fdmshoutloginnervaluecalculator.hpp.

escrowedDividendAdj_

const ext::shared_ptr<EscrowedDividendAdjustment> escrowedDividendAdj_

private

Definition at line 51 of file fdmshoutloginnervaluecalculator.hpp.

maturity_

const Time maturity_

private

Definition at line 52 of file fdmshoutloginnervaluecalculator.hpp.

payoff_

const ext::shared_ptr<PlainVanillaPayoff> payoff_

private

Definition at line 53 of file fdmshoutloginnervaluecalculator.hpp.

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 54 of file fdmshoutloginnervaluecalculator.hpp.

direction_

const Size direction_

private

Definition at line 55 of file fdmshoutloginnervaluecalculator.hpp.