QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdmvppstepconditionfactory.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2012 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file fdmvppstepconditionfactory.hpp
21 \brief factory for VPP step conditions for FD models
22*/
23
24#ifndef quantlib_fdm_vpp_step_condition_factory_hpp
25#define quantlib_fdm_vpp_step_condition_factory_hpp
26
27#include <ql/math/array.hpp>
31
32namespace QuantLib {
33 class Fdm1dMesher;
34
36 public:
38
39 ext::shared_ptr<Fdm1dMesher> stateMesher() const;
40 ext::shared_ptr<FdmVPPStepCondition> build(
41 const FdmVPPStepConditionMesher& mesh,
42 Real fuelCostAddon,
43 const ext::shared_ptr<FdmInnerValueCalculator>& fuel,
44 const ext::shared_ptr<FdmInnerValueCalculator>& spark) const;
45
46 private:
48
50 };
51}
52
53#endif
1-D array used in linear algebra.
ext::shared_ptr< Fdm1dMesher > stateMesher() const
ext::shared_ptr< FdmVPPStepCondition > build(const FdmVPPStepConditionMesher &mesh, Real fuelCostAddon, const ext::shared_ptr< FdmInnerValueCalculator > &fuel, const ext::shared_ptr< FdmInnerValueCalculator > &spark) const
const VanillaVPPOption::arguments args_
enum QuantLib::FdmVPPStepConditionFactory::Type type_
VPP step condition for FD models.
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
conditions to be applied at every time step
vanilla virtual power plant option