QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.hpp>
Public Member Functions | |
FdmVPPStartLimitStepCondition (const FdmVPPStepConditionParams ¶ms, Size nStarts, const FdmVPPStepConditionMesher &mesh, const ext::shared_ptr< FdmInnerValueCalculator > &gasPrice, const ext::shared_ptr< FdmInnerValueCalculator > &sparkSpreadPrice) | |
Real | maxValue (const Array &states) const override |
Public Member Functions inherited from FdmVPPStepCondition | |
FdmVPPStepCondition (const FdmVPPStepConditionParams ¶ms, Size nStates, const FdmVPPStepConditionMesher &mesh, ext::shared_ptr< FdmInnerValueCalculator > gasPrice, ext::shared_ptr< FdmInnerValueCalculator > sparkSpreadPrice) | |
Size | nStates () const |
void | applyTo (Array &a, Time t) const override |
virtual Real | maxValue (const Array &states) const =0 |
Public Member Functions inherited from StepCondition< Array > | |
virtual | ~StepCondition ()=default |
virtual void | applyTo (Array &a, Time t) const=0 |
Static Public Member Functions | |
static Size | nStates (Size tMinUp, Size tMinDown, Size nStarts) |
Private Member Functions | |
Array | changeState (Real gasPrice, const Array &state, Time t) const override |
Private Attributes | |
const Size | nStarts_ |
Additional Inherited Members | |
Protected Member Functions inherited from FdmVPPStepCondition | |
Real | evolveAtPMin (Real sparkSpread) const |
Real | evolveAtPMax (Real sparkSpread) const |
Real | evolve (const FdmLinearOpIterator &iter, Time t) const |
virtual Array | changeState (Real gasPrice, const Array &state, Time t) const =0 |
Protected Attributes inherited from FdmVPPStepCondition | |
const Real | heatRate_ |
const Real | pMin_ |
const Real | pMax_ |
const Size | tMinUp_ |
const Size | tMinDown_ |
const Real | startUpFuel_ |
const Real | startUpFixCost_ |
const Real | fuelCostAddon_ |
const Size | stateDirection_ |
const Size | nStates_ |
const ext::shared_ptr< FdmMesher > | mesher_ |
const ext::shared_ptr< FdmInnerValueCalculator > | gasPrice_ |
const ext::shared_ptr< FdmInnerValueCalculator > | sparkSpreadPrice_ |
std::vector< ext::function< Real(Real)> > | stateEvolveFcts_ |
Definition at line 33 of file fdmvppstartlimitstepcondition.hpp.
FdmVPPStartLimitStepCondition | ( | const FdmVPPStepConditionParams & | params, |
Size | nStarts, | ||
const FdmVPPStepConditionMesher & | mesh, | ||
const ext::shared_ptr< FdmInnerValueCalculator > & | gasPrice, | ||
const ext::shared_ptr< FdmInnerValueCalculator > & | sparkSpreadPrice | ||
) |
Definition at line 33 of file fdmvppstartlimitstepcondition.cpp.
Definition at line 90 of file fdmvppstartlimitstepcondition.cpp.
Implements FdmVPPStepCondition.
Definition at line 95 of file fdmvppstartlimitstepcondition.cpp.
Implements FdmVPPStepCondition.
Definition at line 47 of file fdmvppstartlimitstepcondition.cpp.
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private |
Definition at line 48 of file fdmvppstartlimitstepcondition.hpp.