Inheritance diagram for FdmBlackScholesMesher:

Collaboration diagram for FdmBlackScholesMesher:

Public Member Functions
	FdmBlackScholesMesher (Size size, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Time maturity, Real strike, Real xMinConstraint=Null< Real >(), Real xMaxConstraint=Null< Real >(), Real eps=0.0001, Real scaleFactor=1.5, const std::pair< Real, Real > &cPoint={ Null< Real >(), Null< Real >() }, const DividendSchedule &dividendSchedule={}, const ext::shared_ptr< FdmQuantoHelper > &fdmQuantoHelper={}, Real spotAdjustment=0.0)

Public Member Functions inherited from Fdm1dMesher
	Fdm1dMesher (Size size)

virtual	~Fdm1dMesher ()=default

Size	size () const

Real	dplus (Size index) const

Real	dminus (Size index) const

Real	location (Size index) const

const std::vector< Real > &	locations () const

Static Public Member Functions
static ext::shared_ptr< GeneralizedBlackScholesProcess >	processHelper (const Handle< Quote > &s0, const Handle< YieldTermStructure > &rTS, const Handle< YieldTermStructure > &qTS, Volatility vol)

Additional Inherited Members
Protected Attributes inherited from Fdm1dMesher
std::vector< Real >	locations_

std::vector< Real >	dplus_

std::vector< Real >	dminus_

Detailed Description

Definition at line 39 of file fdmblackscholesmesher.hpp.

Constructor & Destructor Documentation

FdmBlackScholesMesher	(	Size	size,
		const ext::shared_ptr< GeneralizedBlackScholesProcess > &	process,
		Time	maturity,
		Real	strike,
		Real	xMinConstraint = `Null<Real>()`,
		Real	xMaxConstraint = `Null<Real>()`,
		Real	eps = `0.0001`,
		Real	scaleFactor = `1.5`,
		const std::pair< Real, Real > &	cPoint = `{ Null<Real>(), Null<Real>() }`,
		const DividendSchedule &	dividendSchedule = `{}`,
		const ext::shared_ptr< FdmQuantoHelper > &	fdmQuantoHelper = `{}`,
		Real	spotAdjustment = `0.0`
	)

Definition at line 36 of file fdmblackscholesmesher.cpp.

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ext::shared_ptr< GeneralizedBlackScholesProcess > processHelper	(	const Handle< Quote > &	s0,
		const Handle< YieldTermStructure > &	rTS,
		const Handle< YieldTermStructure > &	qTS,
		Volatility	vol
	)

static

Definition at line 134 of file fdmblackscholesmesher.cpp.

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