QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdminnervaluecalculator.hpp>
Public Member Functions | |
FdmCellAveragingInnerValue (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< FdmMesher > mesher, Size direction, ext::function< Real(Real)> gridMapping=[](Real x){ return x;}) | |
Real | innerValue (const FdmLinearOpIterator &iter, Time) override |
Real | avgInnerValue (const FdmLinearOpIterator &iter, Time t) override |
Public Member Functions inherited from FdmInnerValueCalculator | |
virtual | ~FdmInnerValueCalculator ()=default |
virtual Real | innerValue (const FdmLinearOpIterator &iter, Time t)=0 |
virtual Real | avgInnerValue (const FdmLinearOpIterator &iter, Time t)=0 |
Private Member Functions | |
Real | avgInnerValueCalc (const FdmLinearOpIterator &iter, Time t) |
Private Attributes | |
const ext::shared_ptr< Payoff > | payoff_ |
const ext::shared_ptr< FdmMesher > | mesher_ |
const Size | direction_ |
const ext::function< Real(Real)> | gridMapping_ |
std::vector< Real > | avgInnerValues_ |
Definition at line 52 of file fdminnervaluecalculator.hpp.
FdmCellAveragingInnerValue | ( | ext::shared_ptr< Payoff > | payoff, |
ext::shared_ptr< FdmMesher > | mesher, | ||
Size | direction, | ||
ext::function< Real(Real)> | gridMapping = [](Real x){ return x; } |
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) |
Definition at line 51 of file fdminnervaluecalculator.cpp.
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overridevirtual |
Implements FdmInnerValueCalculator.
Definition at line 58 of file fdminnervaluecalculator.cpp.
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overridevirtual |
Implements FdmInnerValueCalculator.
Definition at line 63 of file fdminnervaluecalculator.cpp.
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private |
Definition at line 81 of file fdminnervaluecalculator.cpp.
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private |
Definition at line 65 of file fdminnervaluecalculator.hpp.
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private |
Definition at line 66 of file fdminnervaluecalculator.hpp.
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private |
Definition at line 67 of file fdminnervaluecalculator.hpp.
Definition at line 68 of file fdminnervaluecalculator.hpp.
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private |
Definition at line 70 of file fdminnervaluecalculator.hpp.