QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp>
Public Member Functions | |
Fdm2dBlackScholesSolver (Handle< GeneralizedBlackScholesProcess > p1, Handle< GeneralizedBlackScholesProcess > p2, Real correlation, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >()) | |
Real | valueAt (Real x, Real y) const |
Real | thetaAt (Real x, Real y) const |
Real | deltaXat (Real x, Real y) const |
Real | deltaYat (Real x, Real y) const |
Real | gammaXat (Real x, Real y) const |
Real | gammaYat (Real x, Real y) const |
Real | gammaXYat (Real x, Real y) 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 &) | |
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 () |
Protected Member Functions | |
void | performCalculations () const override |
Protected Member Functions inherited from LazyObject | |
virtual void | calculate () const |
Private Attributes | |
const Handle< GeneralizedBlackScholesProcess > | p1_ |
const Handle< GeneralizedBlackScholesProcess > | p2_ |
const Real | correlation_ |
const FdmSolverDesc | solverDesc_ |
const FdmSchemeDesc | schemeDesc_ |
const bool | localVol_ |
const Real | illegalLocalVolOverwrite_ |
ext::shared_ptr< Fdm2DimSolver > | solver_ |
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_ |
Definition at line 36 of file fdm2dblackscholessolver.hpp.
Fdm2dBlackScholesSolver | ( | Handle< GeneralizedBlackScholesProcess > | p1, |
Handle< GeneralizedBlackScholesProcess > | p2, | ||
Real | correlation, | ||
FdmSolverDesc | solverDesc, | ||
const FdmSchemeDesc & | schemeDesc = FdmSchemeDesc::Hundsdorfer() , |
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bool | localVol = false , |
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Real | illegalLocalVolOverwrite = -Null<Real>() |
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) |
Definition at line 28 of file fdm2dblackscholessolver.cpp.
Definition at line 58 of file fdm2dblackscholessolver.cpp.
Definition at line 66 of file fdm2dblackscholessolver.cpp.
Definition at line 74 of file fdm2dblackscholessolver.cpp.
Definition at line 83 of file fdm2dblackscholessolver.cpp.
Definition at line 92 of file fdm2dblackscholessolver.cpp.
Definition at line 102 of file fdm2dblackscholessolver.cpp.
Definition at line 112 of file fdm2dblackscholessolver.cpp.
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overrideprotectedvirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 44 of file fdm2dblackscholessolver.cpp.
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private |
Definition at line 59 of file fdm2dblackscholessolver.hpp.
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private |
Definition at line 60 of file fdm2dblackscholessolver.hpp.
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private |
Definition at line 61 of file fdm2dblackscholessolver.hpp.
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private |
Definition at line 62 of file fdm2dblackscholessolver.hpp.
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private |
Definition at line 63 of file fdm2dblackscholessolver.hpp.
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private |
Definition at line 64 of file fdm2dblackscholessolver.hpp.
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private |
Definition at line 65 of file fdm2dblackscholessolver.hpp.
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mutableprivate |
Definition at line 67 of file fdm2dblackscholessolver.hpp.