QuantLib: a free/open-source library for quantitative finance
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fdornsteinuhlenbeckvanillaengine.hpp
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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
20/*! \file fdornsteinuhlenbeckvanillaengine.hpp
21 \brief Finite-Differences Ornstein Uhlenbeck vanilla option engine
22*/
23
24#ifndef quantlib_fd_ornstein_uhlenbeck_vanilla_engine_hpp
25#define quantlib_fd_ornstein_uhlenbeck_vanilla_engine_hpp
26
27#include <ql/pricingengine.hpp>
30
31namespace QuantLib {
32
33 class YieldTermStructure;
34 class OrnsteinUhlenbeckProcess;
35
36 class FdOrnsteinUhlenbeckVanillaEngine : public VanillaOption::engine {
37 public:
39 ext::shared_ptr<OrnsteinUhlenbeckProcess>,
40 const ext::shared_ptr<YieldTermStructure>& rTS,
41 Size tGrid = 100,
42 Size xGrid = 100,
43 Size dampingSteps = 0,
44 Real epsilon = 0.0001,
45 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
46
48 ext::shared_ptr<OrnsteinUhlenbeckProcess>,
49 const ext::shared_ptr<YieldTermStructure>& rTS,
50 DividendSchedule dividends,
51 Size tGrid = 100,
52 Size xGrid = 100,
53 Size dampingSteps = 0,
54 Real epsilon = 0.0001,
55 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
56
57 void calculate() const override;
58
59 private:
60 const ext::shared_ptr<OrnsteinUhlenbeckProcess> process_;
61 const ext::shared_ptr<YieldTermStructure> rTS_;
66 };
67}
68
69#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
Base class for pricing engines.
static FdmSchemeDesc Douglas()
Vanilla option on a single asset.