QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdmsimple2dbssolver.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 Ralph Schreyer
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/*!
21 * \file fdmsimple2dbssolver.hpp
22*/
23
24#ifndef quantlib_fdm_simple_2d_bs_solver_hpp
25#define quantlib_fdm_simple_2d_bs_solver_hpp
26
27#include <ql/handle.hpp>
31
32namespace QuantLib {
33
34 class Fdm2DimSolver;
35 class GeneralizedBlackScholesProcess;
36
38 public:
40 Real strike,
41 FdmSolverDesc desc,
42 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
43
44 Real valueAt(Real s, Real a) const;
45 Real deltaAt(Real s, Real a, Real eps) const;
46 Real gammaAt(Real s, Real a, Real eps) const;
47 Real thetaAt(Real s, Real a) const;
48
49 protected:
50 void performCalculations() const override;
51
52 private:
57
58 mutable ext::shared_ptr<Fdm2DimSolver> solver_;
59 };
60}
61
62#endif /* quantlib_fdm_simple_2d_bs_solver_hpp */
ext::shared_ptr< Fdm2DimSolver > solver_
void performCalculations() const override
Real deltaAt(Real s, Real a, Real eps) const
Real thetaAt(Real s, Real a) const
Real gammaAt(Real s, Real a, Real eps) const
Real valueAt(Real s, Real a) const
Handle< GeneralizedBlackScholesProcess > process_
Shared handle to an observable.
Definition: handle.hpp:41
Framework for calculation on demand and result caching.
Definition: lazyobject.hpp:35
QL_REAL Real
real number
Definition: types.hpp:50
Globally accessible relinkable pointer.
framework for calculation on demand and result caching
Definition: any.hpp:35
static FdmSchemeDesc Douglas()