QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmultiperiodengine.hpp>
Protected Types | |
typedef FiniteDifferenceModel< Scheme< TridiagonalOperator > > | model_type |
Protected Member Functions | |
FDMultiPeriodEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
virtual QL_DEPRECATED_ENABLE_WARNING void | setupArguments (const PricingEngine::arguments *args, const std::vector< ext::shared_ptr< Event > > &schedule) const |
void | setupArguments (const PricingEngine::arguments *a) const override |
virtual void | calculate (PricingEngine::results *) const |
virtual void | executeIntermediateStep (Size step) const =0 |
virtual void | initializeStepCondition () const |
virtual void | initializeModel () const |
Time | getDividendTime (Size i) const |
Protected Member Functions inherited from FDVanillaEngine | |
virtual void | setupArguments (const PricingEngine::arguments *) const |
virtual void | setGridLimits () const |
virtual void | setGridLimits (Real, Time) const |
virtual void | initializeInitialCondition () const |
virtual void | initializeBoundaryConditions () const |
virtual void | initializeOperator () const |
virtual Time | getResidualTime () const |
void | ensureStrikeInGrid () const |
Protected Attributes | |
std::vector< ext::shared_ptr< Event > > | events_ |
std::vector< Time > | stoppingTimes_ |
Size | timeStepPerPeriod_ |
QL_DEPRECATED_DISABLE_WARNING SampledCurve | prices_ |
QL_DEPRECATED_DISABLE_WARNING ext::shared_ptr< StandardStepCondition > | stepCondition_ |
QL_DEPRECATED_ENABLE_WARNING ext::shared_ptr< model_type > | model_ |
Protected Attributes inherited from FDVanillaEngine | |
QL_DEPRECATED_ENABLE_WARNING typedef BoundaryCondition< TridiagonalOperator > | bc_type |
ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
Size | timeSteps_ |
Size | gridPoints_ |
bool | timeDependent_ |
Date | exerciseDate_ |
ext::shared_ptr< Payoff > | payoff_ |
TridiagonalOperator | finiteDifferenceOperator_ |
QL_DEPRECATED_DISABLE_WARNING SampledCurve | intrinsicValues_ |
std::vector< ext::shared_ptr< bc_type > > | BCs_ |
Real | sMin_ |
Real | center_ |
Real | sMax_ |
Additional Inherited Members | |
Public Member Functions inherited from FDVanillaEngine | |
QL_DEPRECATED_DISABLE_WARNING | FDVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size timeSteps, Size gridPoints, bool timeDependent=false) |
virtual | ~FDVanillaEngine ()=default |
const Array & | grid () const |
Definition at line 42 of file fdmultiperiodengine.hpp.
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protected |
Definition at line 46 of file fdmultiperiodengine.hpp.
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protected |
Definition at line 107 of file fdmultiperiodengine.hpp.
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protectedvirtual |
Definition at line 59 of file fdmultiperiodengine.hpp.
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overrideprotectedvirtual |
Reimplemented from FDVanillaEngine.
Definition at line 73 of file fdmultiperiodengine.hpp.
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protectedvirtual |
Definition at line 114 of file fdmultiperiodengine.hpp.
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protectedpure virtual |
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protectedvirtual |
Definition at line 206 of file fdmultiperiodengine.hpp.
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protectedvirtual |
Definition at line 212 of file fdmultiperiodengine.hpp.
Definition at line 96 of file fdmultiperiodengine.hpp.
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mutableprotected |
Definition at line 52 of file fdmultiperiodengine.hpp.
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mutableprotected |
Definition at line 53 of file fdmultiperiodengine.hpp.
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protected |
Definition at line 54 of file fdmultiperiodengine.hpp.
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mutableprotected |
Definition at line 56 of file fdmultiperiodengine.hpp.
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mutableprotected |
Definition at line 90 of file fdmultiperiodengine.hpp.
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mutableprotected |
Definition at line 92 of file fdmultiperiodengine.hpp.