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fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | Private Attributes | List of all members
FdmHestonHullWhiteSolver Class Reference

#include <fdmhestonhullwhitesolver.hpp>

+ Inheritance diagram for FdmHestonHullWhiteSolver:
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Public Member Functions

 FdmHestonHullWhiteSolver (const Handle< HestonProcess > &hestonProcess, const Handle< HullWhiteProcess > &hwProcess, Rate corrEquityShortRate, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
 
Real valueAt (Real s, Real v, Rate r) const
 
Real thetaAt (Real s, Real v, Rate r) const
 
Real deltaAt (Real s, Real v, Rate r, Real eps) const
 
Real gammaAt (Real s, Real v, Rate r, Real eps) const
 
- Public Member Functions inherited from LazyObject
 LazyObject ()
 
 ~LazyObject () override=default
 
void update () override
 
bool isCalculated () const
 
void forwardFirstNotificationOnly ()
 
void alwaysForwardNotifications ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 

Protected Member Functions

void performCalculations () const override
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 

Private Attributes

const Handle< HestonProcesshestonProcess_
 
const Handle< HullWhiteProcesshwProcess_
 
const Real corrEquityShortRate_
 
const FdmSolverDesc solverDesc_
 
const FdmSchemeDesc schemeDesc_
 
ext::shared_ptr< Fdm3DimSolversolver_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

Definition at line 39 of file fdmhestonhullwhitesolver.hpp.

Constructor & Destructor Documentation

◆ FdmHestonHullWhiteSolver()

FdmHestonHullWhiteSolver ( const Handle< HestonProcess > &  hestonProcess,
const Handle< HullWhiteProcess > &  hwProcess,
Rate  corrEquityShortRate,
FdmSolverDesc  solverDesc,
const FdmSchemeDesc schemeDesc = FdmSchemeDesc::Hundsdorfer() 
)

Definition at line 28 of file fdmhestonhullwhitesolver.cpp.

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Member Function Documentation

◆ valueAt()

Real valueAt ( Real  s,
Real  v,
Rate  r 
) const

Definition at line 51 of file fdmhestonhullwhitesolver.cpp.

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◆ thetaAt()

Real thetaAt ( Real  s,
Real  v,
Rate  r 
) const

Definition at line 69 of file fdmhestonhullwhitesolver.cpp.

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◆ deltaAt()

Real deltaAt ( Real  s,
Real  v,
Rate  r,
Real  eps 
) const

Definition at line 58 of file fdmhestonhullwhitesolver.cpp.

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◆ gammaAt()

Real gammaAt ( Real  s,
Real  v,
Rate  r,
Real  eps 
) const

Definition at line 63 of file fdmhestonhullwhitesolver.cpp.

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◆ performCalculations()

void performCalculations ( ) const
overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 41 of file fdmhestonhullwhitesolver.cpp.

Member Data Documentation

◆ hestonProcess_

const Handle<HestonProcess> hestonProcess_
private

Definition at line 62 of file fdmhestonhullwhitesolver.hpp.

◆ hwProcess_

const Handle<HullWhiteProcess> hwProcess_
private

Definition at line 63 of file fdmhestonhullwhitesolver.hpp.

◆ corrEquityShortRate_

const Real corrEquityShortRate_
private

Definition at line 64 of file fdmhestonhullwhitesolver.hpp.

◆ solverDesc_

const FdmSolverDesc solverDesc_
private

Definition at line 66 of file fdmhestonhullwhitesolver.hpp.

◆ schemeDesc_

const FdmSchemeDesc schemeDesc_
private

Definition at line 67 of file fdmhestonhullwhitesolver.hpp.

◆ solver_

ext::shared_ptr<Fdm3DimSolver> solver_
mutableprivate

Definition at line 69 of file fdmhestonhullwhitesolver.hpp.