FdmSpreadPayoffInnerValue Class Reference

#include <ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp>

Inheritance diagram for FdmSpreadPayoffInnerValue:

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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()

Real innerValue ( const FdmLinearOpIterator &  iter, Time  t  )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 40 of file fdmspreadpayoffinnervalue.hpp.

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avgInnerValue()

Real avgInnerValue ( const FdmLinearOpIterator &  iter, Time  t  )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 47 of file fdmspreadpayoffinnervalue.hpp.

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Member Data Documentation

payoff_

const ext::shared_ptr<BasketPayoff> payoff_

private

Definition at line 52 of file fdmspreadpayoffinnervalue.hpp.

calc1_

const ext::shared_ptr<FdmInnerValueCalculator> calc1_

private

Definition at line 53 of file fdmspreadpayoffinnervalue.hpp.

calc2_

const ext::shared_ptr<FdmInnerValueCalculator> calc2_

private

Definition at line 54 of file fdmspreadpayoffinnervalue.hpp.