QuantLib: a free/open-source library for quantitative finance
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Public Types | Public Member Functions | Private Attributes | List of all members
FdSimpleExtOUStorageEngine Class Reference

#include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>

+ Inheritance diagram for FdSimpleExtOUStorageEngine:
+ Collaboration diagram for FdSimpleExtOUStorageEngine:

Public Types

typedef std::vector< std::pair< Time, Real > > Shape
 
- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Public Member Functions

 FdSimpleExtOUStorageEngine (ext::shared_ptr< ExtendedOrnsteinUhlenbeckProcess > p, ext::shared_ptr< YieldTermStructure > rTS, Size tGrid=50, Size xGrid=100, Size yGrid=Null< Size >(), ext::shared_ptr< Shape > shape=ext::shared_ptr< Shape >(), const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas())
 
void calculate () const override
 
- Public Member Functions inherited from GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- 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 ()
 

Private Attributes

const ext::shared_ptr< ExtendedOrnsteinUhlenbeckProcessprocess_
 
const ext::shared_ptr< YieldTermStructurerTS_
 
const Size tGrid_
 
const Size xGrid_
 
const Size yGrid_
 
const ext::shared_ptr< Shapeshape_
 
const FdmSchemeDesc schemeDesc_
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results >
VanillaStorageOption::arguments arguments_
 
VanillaStorageOption::results results_
 

Detailed Description

Definition at line 37 of file fdsimpleextoustorageengine.hpp.

Member Typedef Documentation

◆ Shape

typedef std::vector<std::pair<Time, Real> > Shape

Definition at line 41 of file fdsimpleextoustorageengine.hpp.

Constructor & Destructor Documentation

◆ FdSimpleExtOUStorageEngine()

FdSimpleExtOUStorageEngine ( ext::shared_ptr< ExtendedOrnsteinUhlenbeckProcess p,
ext::shared_ptr< YieldTermStructure rTS,
Size  tGrid = 50,
Size  xGrid = 100,
Size  yGrid = Null<Size>(),
ext::shared_ptr< Shape shape = ext::shared_ptr<Shape>(),
const FdmSchemeDesc schemeDesc = FdmSchemeDesc::Douglas() 
)

Definition at line 74 of file fdsimpleextoustorageengine.cpp.

Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 85 of file fdsimpleextoustorageengine.cpp.

Member Data Documentation

◆ process_

const ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> process_
private

Definition at line 55 of file fdsimpleextoustorageengine.hpp.

◆ rTS_

const ext::shared_ptr<YieldTermStructure> rTS_
private

Definition at line 56 of file fdsimpleextoustorageengine.hpp.

◆ tGrid_

const Size tGrid_
private

Definition at line 57 of file fdsimpleextoustorageengine.hpp.

◆ xGrid_

const Size xGrid_
private

Definition at line 57 of file fdsimpleextoustorageengine.hpp.

◆ yGrid_

const Size yGrid_
private

Definition at line 57 of file fdsimpleextoustorageengine.hpp.

◆ shape_

const ext::shared_ptr<Shape> shape_
private

Definition at line 58 of file fdsimpleextoustorageengine.hpp.

◆ schemeDesc_

const FdmSchemeDesc schemeDesc_
private

Definition at line 59 of file fdsimpleextoustorageengine.hpp.