FdCEVVanillaEngine Class Reference

#include <fdcevvanillaengine.hpp>

Inheritance diagram for FdCEVVanillaEngine:

Collaboration diagram for FdCEVVanillaEngine:

Public Member Functions
	FdCEVVanillaEngine (Real f0, Real alpha, Real beta, Handle< YieldTermStructure > discountCurve, Size tGrid=50, Size xGrid=400, Size dampingSteps=0, Real scalingFactor=1.0, Real eps=1e-4, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas())
void	calculate () const override

Private Attributes
const Real	f0_
const Real	alpha_
const Real	beta_
const Handle< YieldTermStructure >	discountCurve_
const Size	tGrid_
const Size	xGrid_
const Size	dampingSteps_
const Real	scalingFactor_
const Real	eps_
const FdmSchemeDesc	schemeDesc_

Detailed Description

Definition at line 34 of file fdcevvanillaengine.hpp.

Constructor & Destructor Documentation

FdCEVVanillaEngine()

FdCEVVanillaEngine	(	Real	f0,
		Real	alpha,
		Real	beta,
		Handle< YieldTermStructure >	discountCurve,
		Size	tGrid = 50,
		Size	xGrid = 400,
		Size	dampingSteps = 0,
		Real	scalingFactor = 1.0,
		Real	eps = 1e-4,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Douglas()
	)

Definition at line 69 of file fdcevvanillaengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 85 of file fdcevvanillaengine.cpp.

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Member Data Documentation

f0_

const Real f0_

private

Definition at line 50 of file fdcevvanillaengine.hpp.

alpha_

const Real alpha_

private

Definition at line 50 of file fdcevvanillaengine.hpp.

beta_

const Real beta_

private

Definition at line 50 of file fdcevvanillaengine.hpp.

discountCurve_

const Handle<YieldTermStructure> discountCurve_

private

Definition at line 51 of file fdcevvanillaengine.hpp.

tGrid_

const Size tGrid_

private

Definition at line 52 of file fdcevvanillaengine.hpp.

xGrid_

const Size xGrid_

private

Definition at line 52 of file fdcevvanillaengine.hpp.

dampingSteps_

const Size dampingSteps_

private

Definition at line 52 of file fdcevvanillaengine.hpp.

scalingFactor_

const Real scalingFactor_

private

Definition at line 53 of file fdcevvanillaengine.hpp.

eps_

const Real eps_

private

Definition at line 53 of file fdcevvanillaengine.hpp.

schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 54 of file fdcevvanillaengine.hpp.