QdFpLegendreTanhSinhScheme Class Reference

Legendre-Tanh-Sinh (l,m,n)-eps Scheme. More...

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

Inheritance diagram for QdFpLegendreTanhSinhScheme:

Collaboration diagram for QdFpLegendreTanhSinhScheme:

Public Member Functions
	QdFpLegendreTanhSinhScheme (Size l, Size m, Size n, Real eps)
ext::shared_ptr< Integrator >	getExerciseBoundaryToPriceIntegrator () const override
Public Member Functions inherited from QdFpLegendreScheme
	QdFpLegendreScheme (Size l, Size m, Size n, Size p)
Size	getNumberOfChebyshevInterpolationNodes () const override
Size	getNumberOfNaiveFixedPointSteps () const override
Size	getNumberOfJacobiNewtonFixedPointSteps () const override
ext::shared_ptr< Integrator >	getFixedPointIntegrator () const override
ext::shared_ptr< Integrator >	getExerciseBoundaryToPriceIntegrator () const override
Public Member Functions inherited from QdFpIterationScheme
virtual Size	getNumberOfChebyshevInterpolationNodes () const =0
virtual Size	getNumberOfNaiveFixedPointSteps () const =0
virtual Size	getNumberOfJacobiNewtonFixedPointSteps () const =0
virtual ext::shared_ptr< Integrator >	getFixedPointIntegrator () const =0
virtual ext::shared_ptr< Integrator >	getExerciseBoundaryToPriceIntegrator () const =0
virtual	~QdFpIterationScheme ()=default

Private Attributes
const Real	eps_

Detailed Description

Legendre-Tanh-Sinh (l,m,n)-eps Scheme.

Parameters

l	order of Gauss-Legendre integration within every fixed point iteration step
m	fixed point iteration steps, first step is a partial Jacobi-Newton, the rest are naive Richardson fixed point iterations
n	number of Chebyshev nodes to interpolate the exercise boundary
eps	final conversion of the exercise boundary into option prices is carried out by a tanh-sinh integration with accuracy eps

Definition at line 78 of file qdfpamericanengine.hpp.

Constructor & Destructor Documentation

QdFpLegendreTanhSinhScheme()

QdFpLegendreTanhSinhScheme	(	Size	l,
		Size	m,
		Size	n,
		Real	eps
	)

Definition at line 103 of file qdfpamericanengine.cpp.

Member Function Documentation

getExerciseBoundaryToPriceIntegrator()

ext::shared_ptr< Integrator > getExerciseBoundaryToPriceIntegrator ( ) const

overridevirtual

Reimplemented from QdFpLegendreScheme.

Definition at line 109 of file qdfpamericanengine.cpp.

Member Data Documentation

eps_

const Real eps_

private

Definition at line 85 of file qdfpamericanengine.hpp.