QuantLib: a free/open-source library for quantitative finance
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fdornsteinuhlenbeckvanillaengine.hpp
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2016 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
24#ifndef quantlib_fd_ornstein_uhlenbeck_vanilla_engine_hpp
25#define quantlib_fd_ornstein_uhlenbeck_vanilla_engine_hpp
26
27#include <ql/pricingengine.hpp>
28#include <ql/instruments/dividendvanillaoption.hpp>
29#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
30
31namespace QuantLib {
32
33 class YieldTermStructure;
34 class OrnsteinUhlenbeckProcess;
35
36 QL_DEPRECATED_DISABLE_WARNING
37
39 QL_DEPRECATED_ENABLE_WARNING
40 public:
42 ext::shared_ptr<OrnsteinUhlenbeckProcess>,
43 const ext::shared_ptr<YieldTermStructure>& rTS,
44 Size tGrid = 100,
45 Size xGrid = 100,
46 Size dampingSteps = 0,
47 Real epsilon = 0.0001,
48 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
49
51 ext::shared_ptr<OrnsteinUhlenbeckProcess>,
52 const ext::shared_ptr<YieldTermStructure>& rTS,
53 DividendSchedule dividends,
54 Size tGrid = 100,
55 Size xGrid = 100,
56 Size dampingSteps = 0,
57 Real epsilon = 0.0001,
58 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
59
60 void calculate() const override;
61
62 private:
63 const ext::shared_ptr<OrnsteinUhlenbeckProcess> process_;
64 const ext::shared_ptr<YieldTermStructure> rTS_;
70 };
71}
72
73#endif
const ext::shared_ptr< YieldTermStructure > rTS_
const ext::shared_ptr< OrnsteinUhlenbeckProcess > process_
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
static FdmSchemeDesc Douglas()