QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
FdmArithmeticAverageCondition Class Reference

#include <fdmarithmeticaveragecondition.hpp>

+ Inheritance diagram for FdmArithmeticAverageCondition:
+ Collaboration diagram for FdmArithmeticAverageCondition:

Public Member Functions

 FdmArithmeticAverageCondition (std::vector< Time > averageTimes, Real, Size pastFixings, const ext::shared_ptr< FdmMesher > &mesher, Size equityDirection)
 
void applyTo (Array &a, Time t) const override
 
- Public Member Functions inherited from StepCondition< Array >
virtual ~StepCondition ()=default
 
virtual void applyTo (Array &a, Time t) const=0
 

Private Attributes

Array x_
 
Array a_
 
const std::vector< TimeaverageTimes_
 
const Size pastFixings_
 
const ext::shared_ptr< FdmMeshermesher_
 
const Size equityDirection_
 

Detailed Description

Definition at line 32 of file fdmarithmeticaveragecondition.hpp.

Constructor & Destructor Documentation

◆ FdmArithmeticAverageCondition()

FdmArithmeticAverageCondition ( std::vector< Time averageTimes,
Real  ,
Size  pastFixings,
const ext::shared_ptr< FdmMesher > &  mesher,
Size  equityDirection 
)

Definition at line 31 of file fdmarithmeticaveragecondition.cpp.

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Member Function Documentation

◆ applyTo()

void applyTo ( Array a,
Time  t 
) const
overridevirtual

Implements StepCondition< Array >.

Definition at line 59 of file fdmarithmeticaveragecondition.cpp.

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Member Data Documentation

◆ x_

Array x_
private

Definition at line 43 of file fdmarithmeticaveragecondition.hpp.

◆ a_

Array a_
private

Definition at line 44 of file fdmarithmeticaveragecondition.hpp.

◆ averageTimes_

const std::vector<Time> averageTimes_
private

Definition at line 46 of file fdmarithmeticaveragecondition.hpp.

◆ pastFixings_

const Size pastFixings_
private

Definition at line 47 of file fdmarithmeticaveragecondition.hpp.

◆ mesher_

const ext::shared_ptr<FdmMesher> mesher_
private

Definition at line 48 of file fdmarithmeticaveragecondition.hpp.

◆ equityDirection_

const Size equityDirection_
private

Definition at line 49 of file fdmarithmeticaveragecondition.hpp.