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Public Member Functions | Private Attributes | List of all members
FdCIRVanillaEngine Class Reference

Finite-differences CIR vanilla option engine. More...

#include <ql/pricingengines/vanilla/fdcirvanillaengine.hpp>

+ Inheritance diagram for FdCIRVanillaEngine:
+ Collaboration diagram for FdCIRVanillaEngine:

Public Member Functions

 FdCIRVanillaEngine (ext::shared_ptr< CoxIngersollRossProcess > cirProcess, ext::shared_ptr< GeneralizedBlackScholesProcess > bsProcess, Size tGrid, Size xGrid, Size vGrid, Size dampingSteps, Real rho, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::ModifiedHundsdorfer(), ext::shared_ptr< FdmQuantoHelper > quantoHelper={})
 
 FdCIRVanillaEngine (ext::shared_ptr< CoxIngersollRossProcess > cirProcess, ext::shared_ptr< GeneralizedBlackScholesProcess > bsProcess, DividendSchedule dividends, Size tGrid, Size xGrid, Size vGrid, Size dampingSteps, Real rho, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::ModifiedHundsdorfer(), ext::shared_ptr< FdmQuantoHelper > quantoHelper={})
 
void calculate () const override
 
FdmSolverDesc getSolverDesc (Real equityScaleFactor) const
 
- Public Member Functions inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 ()
 

Private Attributes

ext::shared_ptr< GeneralizedBlackScholesProcessbsProcess_
 
ext::shared_ptr< CoxIngersollRossProcesscirProcess_
 
ext::shared_ptr< FdmQuantoHelperquantoHelper_
 
DividendSchedule dividends_
 
bool explicitDividends_
 
const Size tGrid_
 
const Size xGrid_
 
const Size rGrid_
 
const Size dampingSteps_
 
const Real rho_
 
const FdmSchemeDesc schemeDesc_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >
DividendVanillaOption::arguments arguments_
 
DividendVanillaOption::results results_
 

Detailed Description

Finite-differences CIR vanilla option engine.

Tests:
the engine has been tested to converge among different schemes.

Definition at line 46 of file fdcirvanillaengine.hpp.

Constructor & Destructor Documentation

◆ FdCIRVanillaEngine() [1/2]

FdCIRVanillaEngine ( ext::shared_ptr< CoxIngersollRossProcess cirProcess,
ext::shared_ptr< GeneralizedBlackScholesProcess bsProcess,
Size  tGrid,
Size  xGrid,
Size  vGrid,
Size  dampingSteps,
Real  rho,
const FdmSchemeDesc schemeDesc = FdmSchemeDesc::ModifiedHundsdorfer(),
ext::shared_ptr< FdmQuantoHelper quantoHelper = {} 
)

Definition at line 35 of file fdcirvanillaengine.cpp.

◆ FdCIRVanillaEngine() [2/2]

FdCIRVanillaEngine ( ext::shared_ptr< CoxIngersollRossProcess cirProcess,
ext::shared_ptr< GeneralizedBlackScholesProcess bsProcess,
DividendSchedule  dividends,
Size  tGrid,
Size  xGrid,
Size  vGrid,
Size  dampingSteps,
Real  rho,
const FdmSchemeDesc schemeDesc = FdmSchemeDesc::ModifiedHundsdorfer(),
ext::shared_ptr< FdmQuantoHelper quantoHelper = {} 
)

Definition at line 50 of file fdcirvanillaengine.cpp.

Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 117 of file fdcirvanillaengine.cpp.

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◆ getSolverDesc()

FdmSolverDesc getSolverDesc ( Real  equityScaleFactor) const

Definition at line 67 of file fdcirvanillaengine.cpp.

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Member Data Documentation

◆ bsProcess_

ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_
private

Definition at line 75 of file fdcirvanillaengine.hpp.

◆ cirProcess_

ext::shared_ptr<CoxIngersollRossProcess> cirProcess_
private

Definition at line 76 of file fdcirvanillaengine.hpp.

◆ quantoHelper_

ext::shared_ptr<FdmQuantoHelper> quantoHelper_
private

Definition at line 77 of file fdcirvanillaengine.hpp.

◆ dividends_

DividendSchedule dividends_
private

Definition at line 78 of file fdcirvanillaengine.hpp.

◆ explicitDividends_

bool explicitDividends_
private

Definition at line 79 of file fdcirvanillaengine.hpp.

◆ tGrid_

const Size tGrid_
private

Definition at line 80 of file fdcirvanillaengine.hpp.

◆ xGrid_

const Size xGrid_
private

Definition at line 80 of file fdcirvanillaengine.hpp.

◆ rGrid_

const Size rGrid_
private

Definition at line 80 of file fdcirvanillaengine.hpp.

◆ dampingSteps_

const Size dampingSteps_
private

Definition at line 80 of file fdcirvanillaengine.hpp.

◆ rho_

const Real rho_
private

Definition at line 81 of file fdcirvanillaengine.hpp.

◆ schemeDesc_

const FdmSchemeDesc schemeDesc_
private

Definition at line 82 of file fdcirvanillaengine.hpp.