QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
pricingengines
vanilla
fdcevvanillaengine.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2018 Klaus Spanderen
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file fdcevvanillaengine.hpp
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\brief Finite-Differences pricing engine for the CEV model
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*/
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#ifndef quantlib_fd_cev_vanilla_engine_hpp
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#define quantlib_fd_cev_vanilla_engine_hpp
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#include <
ql/handle.hpp
>
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#include <
ql/instruments/vanillaoption.hpp
>
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#include <
ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp
>
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namespace
QuantLib
{
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class
YieldTermStructure;
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class
FdCEVVanillaEngine
:
public
VanillaOption::engine
{
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public
:
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FdCEVVanillaEngine
(
Real
f0,
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Real
alpha
,
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Real
beta
,
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Handle<YieldTermStructure>
discountCurve,
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Size
tGrid = 50,
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Size
xGrid = 400,
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Size
dampingSteps = 0,
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Real
scalingFactor = 1.0,
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Real
eps = 1e-4,
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const
FdmSchemeDesc
& schemeDesc =
FdmSchemeDesc::Douglas
());
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void
calculate
()
const override
;
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private
:
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const
Real
f0_
,
alpha_
,
beta_
;
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const
Handle<YieldTermStructure>
discountCurve_
;
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const
Size
tGrid_
,
xGrid_
,
dampingSteps_
;
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const
Real
scalingFactor_
,
eps_
;
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const
FdmSchemeDesc
schemeDesc_
;
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};
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}
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#endif
QuantLib::FdCEVVanillaEngine
Definition:
fdcevvanillaengine.hpp:34
QuantLib::FdCEVVanillaEngine::discountCurve_
const Handle< YieldTermStructure > discountCurve_
Definition:
fdcevvanillaengine.hpp:51
QuantLib::FdCEVVanillaEngine::beta_
const Real beta_
Definition:
fdcevvanillaengine.hpp:50
QuantLib::FdCEVVanillaEngine::alpha_
const Real alpha_
Definition:
fdcevvanillaengine.hpp:50
QuantLib::FdCEVVanillaEngine::calculate
void calculate() const override
Definition:
fdcevvanillaengine.cpp:85
QuantLib::FdCEVVanillaEngine::dampingSteps_
const Size dampingSteps_
Definition:
fdcevvanillaengine.hpp:52
QuantLib::FdCEVVanillaEngine::f0_
const Real f0_
Definition:
fdcevvanillaengine.hpp:50
QuantLib::FdCEVVanillaEngine::tGrid_
const Size tGrid_
Definition:
fdcevvanillaengine.hpp:52
QuantLib::FdCEVVanillaEngine::xGrid_
const Size xGrid_
Definition:
fdcevvanillaengine.hpp:52
QuantLib::FdCEVVanillaEngine::eps_
const Real eps_
Definition:
fdcevvanillaengine.hpp:53
QuantLib::FdCEVVanillaEngine::scalingFactor_
const Real scalingFactor_
Definition:
fdcevvanillaengine.hpp:53
QuantLib::FdCEVVanillaEngine::schemeDesc_
const FdmSchemeDesc schemeDesc_
Definition:
fdcevvanillaengine.hpp:54
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::OneAssetOption::engine
Definition:
oneassetoption.hpp:82
fdmbackwardsolver.hpp
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
handle.hpp
Globally accessible relinkable pointer.
QuantLib
Definition:
any.hpp:35
beta
Real beta
Definition:
sabr.cpp:200
alpha
Real alpha
Definition:
sabr.cpp:200
QuantLib::FdmSchemeDesc
Definition:
fdmbackwardsolver.hpp:35
QuantLib::FdmSchemeDesc::Douglas
static FdmSchemeDesc Douglas()
Definition:
fdmbackwardsolver.cpp:46
vanillaoption.hpp
Vanilla option on a single asset.
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