QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
#include <fdmhullwhitesolver.hpp>
Public Member Functions | |
FdmHullWhiteSolver (Handle< HullWhite > model, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer()) | |
Real | valueAt (Real r) 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< HullWhite > | model_ |
const FdmSolverDesc | solverDesc_ |
const FdmSchemeDesc | schemeDesc_ |
ext::shared_ptr< Fdm1DimSolver > | 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 fdmhullwhitesolver.hpp.
FdmHullWhiteSolver | ( | Handle< HullWhite > | model, |
FdmSolverDesc | solverDesc, | ||
const FdmSchemeDesc & | schemeDesc = FdmSchemeDesc::Hundsdorfer() |
||
) |
Definition at line 47 of file fdmhullwhitesolver.cpp.
|
overrideprotectedvirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 40 of file fdmhullwhitesolver.cpp.
Definition at line 48 of file fdmhullwhitesolver.hpp.
|
private |
Definition at line 49 of file fdmhullwhitesolver.hpp.
|
private |
Definition at line 50 of file fdmhullwhitesolver.hpp.
|
mutableprivate |
Definition at line 52 of file fdmhullwhitesolver.hpp.