30 class DiscountedCashflowAtBoundary {
32 DiscountedCashflowAtBoundary(
Time maturityTime,
34 ext::shared_ptr<YieldTermStructure> rTS)
39 *
rTS_->discount(maturityTime_)/
rTS_->discount(
t);
45 const ext::shared_ptr<YieldTermStructure>
rTS_;
50 const ext::shared_ptr<FdmMesher>& mesher,
51 const ext::shared_ptr<YieldTermStructure>& rTS,
58 DiscountedCashflowAtBoundary(
59 maturityTime, valueOnBoundary, rTS)),
68 bc_->applyBeforeApplying(op);
72 bc_->applyBeforeSolving(op,
r);
75 bc_->applyAfterApplying(
r);
78 bc_->applyAfterSolving(
r);
1-D array used in linear algebra.
FdmDiscountDirichletBoundary(const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< YieldTermStructure > &rTS, Time maturityTime, Real valueOnBoundary, Size direction, Side side)
void applyAfterSolving(array_type &) const override
BoundaryCondition< FdmLinearOp >::Side Side
void applyAfterApplying(array_type &) const override
void applyBeforeApplying(operator_type &) const override
void setTime(Time) override
void applyBeforeSolving(operator_type &, array_type &) const override
const ext::shared_ptr< FdmTimeDepDirichletBoundary > bc_
const ext::shared_ptr< YieldTermStructure > rTS_
discounted value on Dirichlet boundary conditions
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container
ext::shared_ptr< YieldTermStructure > r
Interest-rate term structure.