QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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fdsimpleklugeextouvppengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2011, 2012 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 fdsimpleklugeextouvppengine.hpp
21 \brief Finite Differences engine for simple vpp options
22*/
23
24#ifndef quantlib_fd_simple_kluge_ou_vpp_engine_hpp
25#define quantlib_fd_simple_kluge_ou_vpp_engine_hpp
26
27#include <ql/pricingengine.hpp>
31
32namespace QuantLib {
33
34 //! Finite-Differences engine for simple vpp options
35
36 class YieldTermStructure;
37 class KlugeExtOUProcess;
38
40 : public GenericEngine<VanillaVPPOption::arguments,
41 VanillaVPPOption::results> {
42 public:
44
45 FdSimpleKlugeExtOUVPPEngine(ext::shared_ptr<KlugeExtOUProcess> process,
46 ext::shared_ptr<YieldTermStructure> rTS,
47 ext::shared_ptr<Shape> fuelShape,
48 ext::shared_ptr<Shape> powerShape,
49 Real fuelCostAddon,
50 Size tGrid = 1,
51 Size xGrid = 50,
52 Size yGrid = 10,
53 Size gGrid = 20,
54 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
55
56 void calculate() const override;
57
58 private:
59 const ext::shared_ptr<KlugeExtOUProcess> process_;
60 const ext::shared_ptr<YieldTermStructure> rTS_;
62 const ext::shared_ptr<Shape> fuelShape_;
63 const ext::shared_ptr<Shape> powerShape_;
66 };
67}
68
69#endif
70
FdmExtOUJumpModelInnerValue::Shape Shape
const ext::shared_ptr< KlugeExtOUProcess > process_
const ext::shared_ptr< YieldTermStructure > rTS_
std::vector< std::pair< Time, Real > > Shape
template base class for option pricing engines
inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model)
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
Base class for pricing engines.
static FdmSchemeDesc Hundsdorfer()
vanilla virtual power plant option