#include <fdmspreadpayoffinnervalue.hpp>
Inheritance diagram for FdmSpreadPayoffInnerValue:
Collaboration diagram for FdmSpreadPayoffInnerValue:
Public Member Functions | |
| FdmSpreadPayoffInnerValue (ext::shared_ptr< BasketPayoff > payoff, ext::shared_ptr< FdmInnerValueCalculator > calc1, ext::shared_ptr< FdmInnerValueCalculator > calc2) | |
| Real | innerValue (const FdmLinearOpIterator &iter, Time t) override |
| Real | avgInnerValue (const FdmLinearOpIterator &iter, Time t) override |
| Public Member Functions inherited from FdmInnerValueCalculator | |
| virtual | ~FdmInnerValueCalculator ()=default |
| virtual Real | innerValue (const FdmLinearOpIterator &iter, Time t)=0 |
| virtual Real | avgInnerValue (const FdmLinearOpIterator &iter, Time t)=0 |
Private Attributes | |
| const ext::shared_ptr< BasketPayoff > | payoff_ |
| const ext::shared_ptr< FdmInnerValueCalculator > | calc1_ |
| const ext::shared_ptr< FdmInnerValueCalculator > | calc2_ |
Detailed Description
Definition at line 33 of file fdmspreadpayoffinnervalue.hpp.
Constructor & Destructor Documentation
◆ FdmSpreadPayoffInnerValue()
| FdmSpreadPayoffInnerValue | ( | ext::shared_ptr< BasketPayoff > | payoff, |
| ext::shared_ptr< FdmInnerValueCalculator > | calc1, | ||
| ext::shared_ptr< FdmInnerValueCalculator > | calc2 | ||
| ) |
Definition at line 35 of file fdmspreadpayoffinnervalue.hpp.
Member Function Documentation
◆ innerValue()
|
overridevirtual |
Implements FdmInnerValueCalculator.
Definition at line 40 of file fdmspreadpayoffinnervalue.hpp.
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◆ avgInnerValue()
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overridevirtual |
Implements FdmInnerValueCalculator.
Definition at line 47 of file fdmspreadpayoffinnervalue.hpp.
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Member Data Documentation
◆ payoff_
|
private |
Definition at line 52 of file fdmspreadpayoffinnervalue.hpp.
◆ calc1_
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private |
Definition at line 53 of file fdmspreadpayoffinnervalue.hpp.
◆ calc2_
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private |
Definition at line 54 of file fdmspreadpayoffinnervalue.hpp.