FdmBlackScholesSolver Class Reference

#include <fdmblackscholessolver.hpp>

Inheritance diagram for FdmBlackScholesSolver:

Collaboration diagram for FdmBlackScholesSolver:

Public Member Functions
	FdmBlackScholesSolver (Handle< GeneralizedBlackScholesProcess > process, Real strike, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), Handle< FdmQuantoHelper > quantoHelper=Handle< FdmQuantoHelper >())
Real	valueAt (Real s) const
Real	deltaAt (Real s) const
Real	gammaAt (Real s) const
Real	thetaAt (Real s) const
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Protected Member Functions
void	performCalculations () const override
Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Private Attributes
Handle< GeneralizedBlackScholesProcess >	process_
const Real	strike_
const FdmSolverDesc	solverDesc_
const FdmSchemeDesc	schemeDesc_
const bool	localVol_
const Real	illegalLocalVolOverwrite_
const Handle< FdmQuantoHelper >	quantoHelper_
ext::shared_ptr< Fdm1DimSolver >	solver_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Definition at line 40 of file fdmblackscholessolver.hpp.

Constructor & Destructor Documentation

FdmBlackScholesSolver()

FdmBlackScholesSolver	(	Handle< GeneralizedBlackScholesProcess >	process,
		Real	strike,
		FdmSolverDesc	solverDesc,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Douglas(),
		bool	localVol = false,
		Real	illegalLocalVolOverwrite = -Null<Real>(),
		Handle< FdmQuantoHelper >	quantoHelper = Handle<FdmQuantoHelper>()
	)

Definition at line 30 of file fdmblackscholessolver.cpp.

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Member Function Documentation

valueAt()

Real valueAt

(

Real

s

)

const

Definition at line 57 of file fdmblackscholessolver.cpp.

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deltaAt()

Real deltaAt

(

Real

s

)

const

Definition at line 62 of file fdmblackscholessolver.cpp.

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gammaAt()

Real gammaAt

(

Real

s

)

const

Definition at line 67 of file fdmblackscholessolver.cpp.

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thetaAt()

Real thetaAt

(

Real

s

)

const

Definition at line 73 of file fdmblackscholessolver.cpp.

performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 45 of file fdmblackscholessolver.cpp.

Member Data Documentation

process_

Handle<GeneralizedBlackScholesProcess> process_

private

Definition at line 59 of file fdmblackscholessolver.hpp.

strike_

const Real strike_

private

Definition at line 60 of file fdmblackscholessolver.hpp.

solverDesc_

const FdmSolverDesc solverDesc_

private

Definition at line 61 of file fdmblackscholessolver.hpp.

schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 62 of file fdmblackscholessolver.hpp.

localVol_

const bool localVol_

private

Definition at line 63 of file fdmblackscholessolver.hpp.

illegalLocalVolOverwrite_

const Real illegalLocalVolOverwrite_

private

Definition at line 64 of file fdmblackscholessolver.hpp.

quantoHelper_

const Handle<FdmQuantoHelper> quantoHelper_

private

Definition at line 65 of file fdmblackscholessolver.hpp.

solver_

ext::shared_ptr<Fdm1DimSolver> solver_

mutableprivate

Definition at line 67 of file fdmblackscholessolver.hpp.