FDVanillaEngine Class Reference

#include <fdvanillaengine.hpp>

Inheritance diagram for FDVanillaEngine:

Collaboration diagram for FDVanillaEngine:

Public Member Functions
QL_DEPRECATED_DISABLE_WARNING	FDVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size timeSteps, Size gridPoints, bool timeDependent=false)
virtual	~FDVanillaEngine ()=default
const Array &	grid () 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< 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_

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.