QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/models/equity/hestonslvfdmmodel.hpp>
Classes | |
struct | LogEntry |
Public Member Functions | |
HestonSLVFDMModel (Handle< LocalVolTermStructure > localVol, Handle< HestonModel > hestonModel, const Date &endDate, HestonSLVFokkerPlanckFdmParams params, bool logging=false, std::vector< Date > mandatoryDates=std::vector< Date >(), Real mixingFactor=1.0) | |
ext::shared_ptr< HestonProcess > | hestonProcess () const |
ext::shared_ptr< LocalVolTermStructure > | localVol () const |
ext::shared_ptr< LocalVolTermStructure > | leverageFunction () const |
const std::list< LogEntry > & | logEntries () 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 |
Protected Attributes | |
const Handle< LocalVolTermStructure > | localVol_ |
const Handle< HestonModel > | hestonModel_ |
const Date | endDate_ |
const HestonSLVFokkerPlanckFdmParams | params_ |
const std::vector< Date > | mandatoryDates_ |
const Real | mixingFactor_ |
ext::shared_ptr< LocalVolTermStructure > | leverageFunction_ |
const bool | logging_ |
std::list< LogEntry > | logEntries_ |
Protected Attributes inherited from LazyObject | |
bool | calculated_ = false |
bool | frozen_ = false |
bool | alwaysForward_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Definition at line 73 of file hestonslvfdmmodel.hpp.
HestonSLVFDMModel | ( | Handle< LocalVolTermStructure > | localVol, |
Handle< HestonModel > | hestonModel, | ||
const Date & | endDate, | ||
HestonSLVFokkerPlanckFdmParams | params, | ||
bool | logging = false , |
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std::vector< Date > | mandatoryDates = std::vector<Date>() , |
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Real | mixingFactor = 1.0 |
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ext::shared_ptr< HestonProcess > hestonProcess | ( | ) | const |
ext::shared_ptr< LocalVolTermStructure > localVol | ( | ) | const |
ext::shared_ptr< LocalVolTermStructure > leverageFunction | ( | ) | const |
const std::list< HestonSLVFDMModel::LogEntry > & logEntries | ( | ) | const |
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overrideprotectedvirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 284 of file hestonslvfdmmodel.cpp.
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protected |
Definition at line 98 of file hestonslvfdmmodel.hpp.
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protected |
Definition at line 99 of file hestonslvfdmmodel.hpp.
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protected |
Definition at line 100 of file hestonslvfdmmodel.hpp.
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protected |
Definition at line 101 of file hestonslvfdmmodel.hpp.
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protected |
Definition at line 102 of file hestonslvfdmmodel.hpp.
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protected |
Definition at line 103 of file hestonslvfdmmodel.hpp.
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mutableprotected |
Definition at line 105 of file hestonslvfdmmodel.hpp.
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protected |
Definition at line 107 of file hestonslvfdmmodel.hpp.
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mutableprotected |
Definition at line 108 of file hestonslvfdmmodel.hpp.