FdmHestonSolver Class Reference

#include <fdmhestonsolver.hpp>

Inheritance diagram for FdmHestonSolver:

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Public Member Functions
	FdmHestonSolver (Handle< HestonProcess > process, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), Handle< FdmQuantoHelper > quantoHelper=Handle< FdmQuantoHelper >(), ext::shared_ptr< LocalVolTermStructure > leverageFct=ext::shared_ptr< LocalVolTermStructure >(), Real mixingFactor=1.0)
Real	valueAt (Real s, Real v) const
Real	thetaAt (Real s, Real v) const
Real	deltaAt (Real s, Real v) const
Real	gammaAt (Real s, Real v) const
Real	meanVarianceDeltaAt (Real s, Real v) const
Real	meanVarianceGammaAt (Real s, Real v) 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< HestonProcess >	process_
const FdmSolverDesc	solverDesc_
const FdmSchemeDesc	schemeDesc_
const Handle< FdmQuantoHelper >	quantoHelper_
const ext::shared_ptr< LocalVolTermStructure >	leverageFct_
const Real	mixingFactor_
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_

Detailed Description

Definition at line 42 of file fdmhestonsolver.hpp.

Constructor & Destructor Documentation

FdmHestonSolver()

FdmHestonSolver	(	Handle< HestonProcess >	process,
		FdmSolverDesc	solverDesc,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Hundsdorfer(),
		Handle< FdmQuantoHelper >	quantoHelper = Handle<FdmQuantoHelper>(),
		ext::shared_ptr< LocalVolTermStructure >	leverageFct = ext::shared_ptr<LocalVolTermStructure>(),
		Real	mixingFactor = 1.0
	)

Definition at line 31 of file fdmhestonsolver.cpp.

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Member Function Documentation

valueAt()

Real valueAt	(	Real	s,
		Real	v
	)		const

Definition at line 56 of file fdmhestonsolver.cpp.

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thetaAt()

Real thetaAt	(	Real	s,
		Real	v
	)		const

Definition at line 89 of file fdmhestonsolver.cpp.

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deltaAt()

Real deltaAt	(	Real	s,
		Real	v
	)		const

Definition at line 61 of file fdmhestonsolver.cpp.

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gammaAt()

Real gammaAt	(	Real	s,
		Real	v
	)		const

Definition at line 66 of file fdmhestonsolver.cpp.

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meanVarianceDeltaAt()

Real meanVarianceDeltaAt	(	Real	s,
		Real	v
	)		const

Definition at line 72 of file fdmhestonsolver.cpp.

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meanVarianceGammaAt()

Real meanVarianceGammaAt	(	Real	s,
		Real	v
	)		const

Definition at line 79 of file fdmhestonsolver.cpp.

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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 45 of file fdmhestonsolver.cpp.

Member Data Documentation

process_

const Handle<HestonProcess> process_

private

Definition at line 70 of file fdmhestonsolver.hpp.

solverDesc_

const FdmSolverDesc solverDesc_

private

Definition at line 71 of file fdmhestonsolver.hpp.

schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 72 of file fdmhestonsolver.hpp.

quantoHelper_

const Handle<FdmQuantoHelper> quantoHelper_

private

Definition at line 73 of file fdmhestonsolver.hpp.

leverageFct_

const ext::shared_ptr<LocalVolTermStructure> leverageFct_

private

Definition at line 74 of file fdmhestonsolver.hpp.

mixingFactor_

const Real mixingFactor_

private

Definition at line 75 of file fdmhestonsolver.hpp.

solver_

ext::shared_ptr<Fdm2DimSolver> solver_

mutableprivate

Definition at line 77 of file fdmhestonsolver.hpp.