FDMultiPeriodEngine< Scheme > Class Template Reference

#include <ql/pricingengines/vanilla/fdmultiperiodengine.hpp>

Inheritance diagram for FDMultiPeriodEngine< Scheme >:

Collaboration diagram for FDMultiPeriodEngine< Scheme >:

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

Detailed Description

template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDMultiPeriodEngine< Scheme >

Deprecated:

Use the new finite-differences framework instead. Deprecated in version 1.32.

Definition at line 42 of file fdmultiperiodengine.hpp.

Member Typedef Documentation

model_type

typedef FiniteDifferenceModel<Scheme<TridiagonalOperator> > model_type

protected

Definition at line 46 of file fdmultiperiodengine.hpp.

Constructor & Destructor Documentation

FDMultiPeriodEngine()

QL_DEPRECATED_DISABLE_WARNING FDMultiPeriodEngine ( const ext::shared_ptr< GeneralizedBlackScholesProcess > &  process, Size  timeSteps = 100, Size  gridPoints = 100, bool  timeDependent = false  )

protected

Definition at line 107 of file fdmultiperiodengine.hpp.

Member Function Documentation

setupArguments() [1/2]

virtual QL_DEPRECATED_ENABLE_WARNING void setupArguments ( const PricingEngine::arguments *  args, const std::vector< ext::shared_ptr< Event > > &  schedule  ) const

protectedvirtual

Definition at line 59 of file fdmultiperiodengine.hpp.

setupArguments() [2/2]

void setupArguments ( const PricingEngine::arguments *  a ) const

overrideprotectedvirtual

Reimplemented from FDVanillaEngine.

Definition at line 73 of file fdmultiperiodengine.hpp.

calculate()

void calculate ( PricingEngine::results *  r ) const

protectedvirtual

Definition at line 114 of file fdmultiperiodengine.hpp.

executeIntermediateStep()

virtual void executeIntermediateStep ( Size  step ) const

protectedpure virtual

initializeStepCondition()

void initializeStepCondition

protectedvirtual

Definition at line 206 of file fdmultiperiodengine.hpp.

initializeModel()

void initializeModel

protectedvirtual

Definition at line 212 of file fdmultiperiodengine.hpp.

getDividendTime()

Time getDividendTime ( Size  i ) const

protected

Definition at line 96 of file fdmultiperiodengine.hpp.

Member Data Documentation

events_

std::vector<ext::shared_ptr<Event> > events_

mutableprotected

Definition at line 52 of file fdmultiperiodengine.hpp.

stoppingTimes_

std::vector<Time> stoppingTimes_

mutableprotected

Definition at line 53 of file fdmultiperiodengine.hpp.

timeStepPerPeriod_

Size timeStepPerPeriod_

protected

Definition at line 54 of file fdmultiperiodengine.hpp.

prices_

QL_DEPRECATED_DISABLE_WARNING SampledCurve prices_

mutableprotected

Definition at line 56 of file fdmultiperiodengine.hpp.

stepCondition_

QL_DEPRECATED_DISABLE_WARNING ext::shared_ptr<StandardStepCondition > stepCondition_

mutableprotected

Definition at line 90 of file fdmultiperiodengine.hpp.

model_

QL_DEPRECATED_ENABLE_WARNING ext::shared_ptr<model_type> model_

mutableprotected

Definition at line 92 of file fdmultiperiodengine.hpp.