QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmhestonhullwhitesolver.hpp>
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 &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Public Member Functions inherited from Observer | |
Observer ()=default | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
virtual | ~Observer () |
std::pair< iterator, bool > | registerWith (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< HestonProcess > | hestonProcess_ |
const Handle< HullWhiteProcess > | hwProcess_ |
const Real | corrEquityShortRate_ |
const FdmSolverDesc | solverDesc_ |
const FdmSchemeDesc | schemeDesc_ |
ext::shared_ptr< Fdm3DimSolver > | solver_ |
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_ |
Definition at line 39 of file fdmhestonhullwhitesolver.hpp.
FdmHestonHullWhiteSolver | ( | const Handle< HestonProcess > & | hestonProcess, |
const Handle< HullWhiteProcess > & | hwProcess, | ||
Rate | corrEquityShortRate, | ||
FdmSolverDesc | solverDesc, | ||
const FdmSchemeDesc & | schemeDesc = FdmSchemeDesc::Hundsdorfer() |
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Definition at line 28 of file fdmhestonhullwhitesolver.cpp.
Definition at line 51 of file fdmhestonhullwhitesolver.cpp.
Definition at line 69 of file fdmhestonhullwhitesolver.cpp.
Definition at line 58 of file fdmhestonhullwhitesolver.cpp.
Definition at line 63 of file fdmhestonhullwhitesolver.cpp.
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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.
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private |
Definition at line 62 of file fdmhestonhullwhitesolver.hpp.
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private |
Definition at line 63 of file fdmhestonhullwhitesolver.hpp.
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private |
Definition at line 64 of file fdmhestonhullwhitesolver.hpp.
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private |
Definition at line 66 of file fdmhestonhullwhitesolver.hpp.
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private |
Definition at line 67 of file fdmhestonhullwhitesolver.hpp.
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mutableprivate |
Definition at line 69 of file fdmhestonhullwhitesolver.hpp.