FdmKlugeExtOUSolver< N > Class Template Reference

#include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>

Inheritance diagram for FdmKlugeExtOUSolver< N >:

Collaboration diagram for FdmKlugeExtOUSolver< N >:

Public Member Functions
	FdmKlugeExtOUSolver (Handle< KlugeExtOUProcess > klugeOUProcess, ext::shared_ptr< YieldTermStructure > rTS, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
Real	valueAt (const std::vector< Real > &x) 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 Member Functions
	BOOST_STATIC_ASSERT (N >=3)

Private Attributes
const Handle< KlugeExtOUProcess >	klugeOUProcess_
const ext::shared_ptr< YieldTermStructure >	rTS_
const FdmSolverDesc	solverDesc_
const FdmSchemeDesc	schemeDesc_
ext::shared_ptr< FdmNdimSolver< N > >	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_

Detailed Description

template<Size N = 3>
class QuantLib::FdmKlugeExtOUSolver< N >

Definition at line 42 of file fdmklugeextousolver.hpp.

Constructor & Destructor Documentation

FdmKlugeExtOUSolver()

FdmKlugeExtOUSolver	(	Handle< KlugeExtOUProcess >	klugeOUProcess,
		ext::shared_ptr< YieldTermStructure >	rTS,
		FdmSolverDesc	solverDesc,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Hundsdorfer()
	)

Definition at line 44 of file fdmklugeextousolver.hpp.

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Member Function Documentation

valueAt()

Real valueAt

(

const std::vector< Real > &

x

)

const

Definition at line 53 of file fdmklugeextousolver.hpp.

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performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 59 of file fdmklugeextousolver.hpp.

BOOST_STATIC_ASSERT()

BOOST_STATIC_ASSERT ( N >=  3 )

private

Member Data Documentation

klugeOUProcess_

const Handle<KlugeExtOUProcess> klugeOUProcess_

private

Definition at line 70 of file fdmklugeextousolver.hpp.

rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

private

Definition at line 71 of file fdmklugeextousolver.hpp.

solverDesc_

const FdmSolverDesc solverDesc_

private

Definition at line 73 of file fdmklugeextousolver.hpp.

schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 74 of file fdmklugeextousolver.hpp.

solver_

ext::shared_ptr<FdmNdimSolver<N> > solver_

mutableprivate

Definition at line 76 of file fdmklugeextousolver.hpp.