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fully annotated source code - version 1.38
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Classes | Public Member Functions | Protected Member Functions | Private Member Functions | Private Attributes | List of all members
SquareRootCLVModel Class Reference

#include <squarerootclvmodel.hpp>

+ Inheritance diagram for SquareRootCLVModel:
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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
 
std::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 ()=default
 
 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_
 
std::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_
 

Detailed Description

Definition at line 41 of file squarerootclvmodel.hpp.

Constructor & Destructor Documentation

◆ SquareRootCLVModel()

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>() 
)

Definition at line 36 of file squarerootclvmodel.cpp.

Member Function Documentation

◆ cdf()

Real cdf ( const Date &  d,
Real  x 
) const

Definition at line 47 of file squarerootclvmodel.cpp.

◆ invCDF()

Real invCDF ( const Date &  d,
Real  q 
) const

Definition at line 52 of file squarerootclvmodel.cpp.

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◆ collocationPointsX()

Array collocationPointsX ( const Date &  d) const

Definition at line 73 of file squarerootclvmodel.cpp.

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◆ collocationPointsY()

Array collocationPointsY ( const Date &  d) const

Definition at line 104 of file squarerootclvmodel.cpp.

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◆ g()

std::function< Real(Time, Real)> g ( ) const

Definition at line 121 of file squarerootclvmodel.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 126 of file squarerootclvmodel.cpp.

◆ nonCentralChiSquaredParams()

std::pair< Real, Real > nonCentralChiSquaredParams ( const Date &  d) const
private

Definition at line 56 of file squarerootclvmodel.cpp.

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Member Data Documentation

◆ pMax_

const Real pMax_
private

Definition at line 85 of file squarerootclvmodel.hpp.

◆ pMin_

const Real pMin_
private

Definition at line 85 of file squarerootclvmodel.hpp.

◆ bsProcess_

const ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_
private

Definition at line 86 of file squarerootclvmodel.hpp.

◆ sqrtProcess_

const ext::shared_ptr<SquareRootProcess> sqrtProcess_
private

Definition at line 87 of file squarerootclvmodel.hpp.

◆ maturityDates_

const std::vector<Date> maturityDates_
private

Definition at line 88 of file squarerootclvmodel.hpp.

◆ lagrangeOrder_

const Size lagrangeOrder_
private

Definition at line 89 of file squarerootclvmodel.hpp.

◆ rndCalculator_

const ext::shared_ptr<GBSMRNDCalculator> rndCalculator_
private

Definition at line 90 of file squarerootclvmodel.hpp.

◆ g_

std::function<Real(Time, Real)> g_
mutableprivate

Definition at line 92 of file squarerootclvmodel.hpp.

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