QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Public Member Functions | Protected Member Functions | Protected Attributes | Private Member Functions | Static Private Attributes | List of all members
FDVanillaEngine Class Reference

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

+ Inheritance diagram for FDVanillaEngine:
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Public Member Functions

QL_DEPRECATED_DISABLE_WARNING FDVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size timeSteps, Size gridPoints, bool timeDependent=false)
 
virtual ~FDVanillaEngine ()=default
 
const Arraygrid () const
 

Protected Member Functions

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

QL_DEPRECATED_ENABLE_WARNING typedef BoundaryCondition< TridiagonalOperatorbc_type
 
ext::shared_ptr< GeneralizedBlackScholesProcessprocess_
 
Size timeSteps_
 
Size gridPoints_
 
bool timeDependent_
 
Date exerciseDate_
 
ext::shared_ptr< Payoffpayoff_
 
TridiagonalOperator finiteDifferenceOperator_
 
QL_DEPRECATED_DISABLE_WARNING SampledCurve intrinsicValues_
 
std::vector< ext::shared_ptr< bc_type > > BCs_
 
Real sMin_
 
Real center_
 
Real sMax_
 

Private Member Functions

Size safeGridPoints (Size gridPoints, Time residualTime) const
 

Static Private Attributes

static const Real safetyZoneFactor_ = 1.1
 

Detailed Description

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

Definition at line 44 of file fdvanillaengine.hpp.

Constructor & Destructor Documentation

◆ FDVanillaEngine()

QL_DEPRECATED_DISABLE_WARNING FDVanillaEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess process,
Size  timeSteps,
Size  gridPoints,
bool  timeDependent = false 
)

Definition at line 47 of file fdvanillaengine.hpp.

◆ ~FDVanillaEngine()

virtual ~FDVanillaEngine ( )
virtualdefault

Member Function Documentation

◆ grid()

const Array & grid ( ) const

Definition at line 55 of file fdvanillaengine.hpp.

◆ setupArguments()

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

Reimplemented in FDMultiPeriodEngine< Scheme >.

Definition at line 41 of file fdvanillaengine.cpp.

◆ setGridLimits() [1/2]

void setGridLimits ( ) const
protectedvirtual

Definition at line 35 of file fdvanillaengine.cpp.

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◆ setGridLimits() [2/2]

void setGridLimits ( Real  center,
Time  t 
) const
protectedvirtual

Definition at line 49 of file fdvanillaengine.cpp.

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◆ initializeInitialCondition()

void initializeInitialCondition ( ) const
protectedvirtual

Definition at line 90 of file fdvanillaengine.cpp.

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◆ initializeBoundaryConditions()

void initializeBoundaryConditions ( ) const
protectedvirtual

Definition at line 120 of file fdvanillaengine.cpp.

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◆ initializeOperator()

void initializeOperator ( ) const
protectedvirtual

Definition at line 97 of file fdvanillaengine.cpp.

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◆ getResidualTime()

Time getResidualTime ( ) const
protectedvirtual

Definition at line 133 of file fdvanillaengine.cpp.

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◆ ensureStrikeInGrid()

void ensureStrikeInGrid ( ) const
protected

Definition at line 70 of file fdvanillaengine.cpp.

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◆ safeGridPoints()

Size safeGridPoints ( Size  gridPoints,
Time  residualTime 
) const
private

Definition at line 138 of file fdvanillaengine.cpp.

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Member Data Documentation

◆ bc_type

QL_DEPRECATED_ENABLE_WARNING typedef BoundaryCondition<TridiagonalOperator> bc_type
protected

Definition at line 76 of file fdvanillaengine.hpp.

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_
protected

Definition at line 67 of file fdvanillaengine.hpp.

◆ timeSteps_

Size timeSteps_
protected

Definition at line 68 of file fdvanillaengine.hpp.

◆ gridPoints_

Size gridPoints_
protected

Definition at line 68 of file fdvanillaengine.hpp.

◆ timeDependent_

bool timeDependent_
protected

Definition at line 69 of file fdvanillaengine.hpp.

◆ exerciseDate_

Date exerciseDate_
mutableprotected

Definition at line 70 of file fdvanillaengine.hpp.

◆ payoff_

ext::shared_ptr<Payoff> payoff_
mutableprotected

Definition at line 71 of file fdvanillaengine.hpp.

◆ finiteDifferenceOperator_

TridiagonalOperator finiteDifferenceOperator_
mutableprotected

Definition at line 72 of file fdvanillaengine.hpp.

◆ intrinsicValues_

QL_DEPRECATED_DISABLE_WARNING SampledCurve intrinsicValues_
mutableprotected

Definition at line 74 of file fdvanillaengine.hpp.

◆ BCs_

std::vector<ext::shared_ptr<bc_type> > BCs_
mutableprotected

Definition at line 77 of file fdvanillaengine.hpp.

◆ sMin_

Real sMin_
mutableprotected

Definition at line 79 of file fdvanillaengine.hpp.

◆ center_

Real center_
protected

Definition at line 79 of file fdvanillaengine.hpp.

◆ sMax_

Real sMax_
protected

Definition at line 79 of file fdvanillaengine.hpp.

◆ safetyZoneFactor_

const Real safetyZoneFactor_ = 1.1
staticprivate

Definition at line 85 of file fdvanillaengine.hpp.