QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <squarerootclvmodel.hpp>
Classes | |
class | MappingFunction |
Public Member Functions | |
SquareRootCLVModel (const ext::shared_ptr< GeneralizedBlackScholesProcess > &bsProcess, ext::shared_ptr< SquareRootProcess > sqrtProcess, std::vector< Date > maturityDates, Size lagrangeOrder, Real pMax=Null< Real >(), Real pMin=Null< Real >()) | |
Real | cdf (const Date &d, Real x) const |
Real | invCDF (const Date &d, Real q) const |
Array | collocationPointsX (const Date &d) const |
Array | collocationPointsY (const Date &d) const |
ext::function< Real(Time, Real)> | g () 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 | |
std::pair< Real, Real > | nonCentralChiSquaredParams (const Date &d) const |
Private Attributes | |
const Real | pMax_ |
const Real | pMin_ |
const ext::shared_ptr< GeneralizedBlackScholesProcess > | bsProcess_ |
const ext::shared_ptr< SquareRootProcess > | sqrtProcess_ |
const std::vector< Date > | maturityDates_ |
const Size | lagrangeOrder_ |
const ext::shared_ptr< GBSMRNDCalculator > | rndCalculator_ |
ext::function< Real(Time, Real)> | g_ |
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 41 of file squarerootclvmodel.hpp.
SquareRootCLVModel | ( | const ext::shared_ptr< GeneralizedBlackScholesProcess > & | bsProcess, |
ext::shared_ptr< SquareRootProcess > | sqrtProcess, | ||
std::vector< Date > | maturityDates, | ||
Size | lagrangeOrder, | ||
Real | pMax = Null<Real>() , |
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Real | pMin = Null<Real>() |
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Definition at line 36 of file squarerootclvmodel.cpp.
Definition at line 47 of file squarerootclvmodel.cpp.
Definition at line 73 of file squarerootclvmodel.cpp.
Definition at line 104 of file squarerootclvmodel.cpp.
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overrideprotectedvirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 126 of file squarerootclvmodel.cpp.
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private |
Definition at line 85 of file squarerootclvmodel.hpp.
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private |
Definition at line 85 of file squarerootclvmodel.hpp.
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private |
Definition at line 86 of file squarerootclvmodel.hpp.
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private |
Definition at line 87 of file squarerootclvmodel.hpp.
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private |
Definition at line 88 of file squarerootclvmodel.hpp.
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private |
Definition at line 89 of file squarerootclvmodel.hpp.
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private |
Definition at line 90 of file squarerootclvmodel.hpp.
Definition at line 92 of file squarerootclvmodel.hpp.