HestonSLVFDMModel Class Reference

#include <hestonslvfdmmodel.hpp>

Inheritance diagram for HestonSLVFDMModel:

Collaboration diagram for HestonSLVFDMModel:

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 ()=default
	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

Detailed Description

Definition at line 73 of file hestonslvfdmmodel.hpp.

Constructor & Destructor Documentation

HestonSLVFDMModel()

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
	)

Definition at line 251 of file hestonslvfdmmodel.cpp.

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Member Function Documentation

hestonProcess()

ext::shared_ptr< HestonProcess > hestonProcess

(

)

const

Definition at line 266 of file hestonslvfdmmodel.cpp.

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localVol()

ext::shared_ptr< LocalVolTermStructure > localVol

(

)

const

Definition at line 270 of file hestonslvfdmmodel.cpp.

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leverageFunction()

ext::shared_ptr< LocalVolTermStructure > leverageFunction

(

)

const

Definition at line 275 of file hestonslvfdmmodel.cpp.

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logEntries()

const std::list< HestonSLVFDMModel::LogEntry > & logEntries

(

)

const

Definition at line 531 of file hestonslvfdmmodel.cpp.

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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 281 of file hestonslvfdmmodel.cpp.

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Member Data Documentation

localVol_

const Handle<LocalVolTermStructure> localVol_

protected

Definition at line 98 of file hestonslvfdmmodel.hpp.

hestonModel_

const Handle<HestonModel> hestonModel_

protected

Definition at line 99 of file hestonslvfdmmodel.hpp.

endDate_

const Date endDate_

protected

Definition at line 100 of file hestonslvfdmmodel.hpp.

params_

const HestonSLVFokkerPlanckFdmParams params_

protected

Definition at line 101 of file hestonslvfdmmodel.hpp.

mandatoryDates_

const std::vector<Date> mandatoryDates_

protected

Definition at line 102 of file hestonslvfdmmodel.hpp.

mixingFactor_

const Real mixingFactor_

protected

Definition at line 103 of file hestonslvfdmmodel.hpp.

leverageFunction_

ext::shared_ptr<LocalVolTermStructure> leverageFunction_

mutableprotected

Definition at line 105 of file hestonslvfdmmodel.hpp.

logging_

const bool logging_

protected

Definition at line 107 of file hestonslvfdmmodel.hpp.

logEntries_

std::list<LogEntry> logEntries_

mutableprotected

Definition at line 108 of file hestonslvfdmmodel.hpp.