FdmCIREquityPart Class Reference

#include <fdmcirop.hpp>

Collaboration diagram for FdmCIREquityPart:

Public Member Functions
	FdmCIREquityPart (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< GeneralizedBlackScholesProcess > &bsProcess, Real strike)
void	setTime (Time t1, Time t2)
const TripleBandLinearOp &	getMap () const

Protected Attributes
const FirstDerivativeOp	dxMap_
const TripleBandLinearOp	dxxMap_
TripleBandLinearOp	mapT_
const ext::shared_ptr< FdmMesher >	mesher_
const ext::shared_ptr< YieldTermStructure >	qTS_
const Real	strike_
const ext::shared_ptr< BlackVolTermStructure >	sigma1_

Detailed Description

Definition at line 40 of file fdmcirop.hpp.

Constructor & Destructor Documentation

FdmCIREquityPart()

FdmCIREquityPart	(	const ext::shared_ptr< FdmMesher > &	mesher,
		const ext::shared_ptr< GeneralizedBlackScholesProcess > &	bsProcess,
		Real	strike
	)

Definition at line 29 of file fdmcirop.cpp.

Member Function Documentation

setTime()

void setTime	(	Time	t1,
		Time	t2
	)

Definition at line 42 of file fdmcirop.cpp.

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getMap()

const TripleBandLinearOp & getMap

(

)

const

Definition at line 51 of file fdmcirop.cpp.

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Member Data Documentation

dxMap_

const FirstDerivativeOp dxMap_

protected

Definition at line 51 of file fdmcirop.hpp.

dxxMap_

const TripleBandLinearOp dxxMap_

protected

Definition at line 52 of file fdmcirop.hpp.

mapT_

TripleBandLinearOp mapT_

protected

Definition at line 53 of file fdmcirop.hpp.

mesher_

const ext::shared_ptr<FdmMesher> mesher_

protected

Definition at line 55 of file fdmcirop.hpp.

qTS_

const ext::shared_ptr<YieldTermStructure> qTS_

protected

Definition at line 56 of file fdmcirop.hpp.

strike_

const Real strike_

protected

Definition at line 57 of file fdmcirop.hpp.

sigma1_

const ext::shared_ptr<BlackVolTermStructure> sigma1_

protected

Definition at line 58 of file fdmcirop.hpp.