FdmCellAveragingInnerValue Class Reference

#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>

Inheritance diagram for FdmCellAveragingInnerValue:

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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_

Detailed Description

Definition at line 52 of file fdminnervaluecalculator.hpp.

Constructor & Destructor Documentation

FdmCellAveragingInnerValue()

FdmCellAveragingInnerValue	(	ext::shared_ptr< Payoff >	payoff,
		ext::shared_ptr< FdmMesher >	mesher,
		Size	direction,
		ext::function< Real(Real)>	gridMapping = [](Real x){ return x; }
	)

Definition at line 51 of file fdminnervaluecalculator.cpp.

Member Function Documentation

innerValue()

Real innerValue ( const FdmLinearOpIterator &  iter, Time    )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 58 of file fdminnervaluecalculator.cpp.

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avgInnerValue()

Real avgInnerValue ( const FdmLinearOpIterator &  iter, Time  t  )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 63 of file fdminnervaluecalculator.cpp.

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avgInnerValueCalc()

Real avgInnerValueCalc ( const FdmLinearOpIterator &  iter, Time  t  )

private

Definition at line 81 of file fdminnervaluecalculator.cpp.

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Member Data Documentation

payoff_

const ext::shared_ptr<Payoff> payoff_

private

Definition at line 65 of file fdminnervaluecalculator.hpp.

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 66 of file fdminnervaluecalculator.hpp.

direction_

const Size direction_

private

Definition at line 67 of file fdminnervaluecalculator.hpp.

gridMapping_

const ext::function<Real(Real)> gridMapping_

private

Definition at line 68 of file fdminnervaluecalculator.hpp.

avgInnerValues_

std::vector<Real> avgInnerValues_

private

Definition at line 70 of file fdminnervaluecalculator.hpp.