QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Finite-differences CIR vanilla option engine. More...
#include <ql/pricingengines/vanilla/fdcirvanillaengine.hpp>
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::arguments * | getArguments () const override |
const PricingEngine::results * | getResults () const override |
void | reset () override |
void | update () override |
Public Member Functions inherited from PricingEngine | |
~PricingEngine () override=default | |
virtual arguments * | getArguments () const =0 |
virtual const results * | getResults () const =0 |
virtual void | reset ()=0 |
virtual void | calculate () const =0 |
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 () |
Private Attributes | |
ext::shared_ptr< GeneralizedBlackScholesProcess > | bsProcess_ |
ext::shared_ptr< CoxIngersollRossProcess > | cirProcess_ |
ext::shared_ptr< FdmQuantoHelper > | quantoHelper_ |
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_ |
Finite-differences CIR vanilla option engine.
Definition at line 46 of file fdcirvanillaengine.hpp.
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() , |
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ext::shared_ptr< FdmQuantoHelper > | quantoHelper = {} |
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) |
Definition at line 35 of file fdcirvanillaengine.cpp.
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() , |
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ext::shared_ptr< FdmQuantoHelper > | quantoHelper = {} |
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) |
Definition at line 50 of file fdcirvanillaengine.cpp.
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overridevirtual |
Implements PricingEngine.
Definition at line 117 of file fdcirvanillaengine.cpp.
FdmSolverDesc getSolverDesc | ( | Real | equityScaleFactor | ) | const |
Definition at line 67 of file fdcirvanillaengine.cpp.
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Definition at line 75 of file fdcirvanillaengine.hpp.
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Definition at line 76 of file fdcirvanillaengine.hpp.
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Definition at line 77 of file fdcirvanillaengine.hpp.
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Definition at line 78 of file fdcirvanillaengine.hpp.
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Definition at line 79 of file fdcirvanillaengine.hpp.
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Definition at line 80 of file fdcirvanillaengine.hpp.
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Definition at line 80 of file fdcirvanillaengine.hpp.
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Definition at line 80 of file fdcirvanillaengine.hpp.
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Definition at line 80 of file fdcirvanillaengine.hpp.
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Definition at line 81 of file fdcirvanillaengine.hpp.
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Definition at line 82 of file fdcirvanillaengine.hpp.