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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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#include <fdmvppstepcondition.hpp>
Inheritance diagram for FdmVPPStepCondition:
Collaboration diagram for FdmVPPStepCondition:Public Member Functions | |
| FdmVPPStepCondition (const FdmVPPStepConditionParams ¶ms, Size nStates, const FdmVPPStepConditionMesher &mesh, ext::shared_ptr< FdmInnerValueCalculator > gasPrice, ext::shared_ptr< FdmInnerValueCalculator > sparkSpreadPrice) | |
| Size | nStates () const |
| void | applyTo (Array &a, Time t) const override |
| virtual Real | maxValue (const Array &states) const =0 |
Public Member Functions inherited from StepCondition< Array > | |
| virtual | ~StepCondition ()=default |
| virtual void | applyTo (Array &a, Time t) const=0 |
Protected Member Functions | |
| Real | evolveAtPMin (Real sparkSpread) const |
| Real | evolveAtPMax (Real sparkSpread) const |
| Real | evolve (const FdmLinearOpIterator &iter, Time t) const |
| virtual Array | changeState (Real gasPrice, const Array &state, Time t) const =0 |
Protected Attributes | |
| const Real | heatRate_ |
| const Real | pMin_ |
| const Real | pMax_ |
| const Size | tMinUp_ |
| const Size | tMinDown_ |
| const Real | startUpFuel_ |
| const Real | startUpFixCost_ |
| const Real | fuelCostAddon_ |
| const Size | stateDirection_ |
| const Size | nStates_ |
| const ext::shared_ptr< FdmMesher > | mesher_ |
| const ext::shared_ptr< FdmInnerValueCalculator > | gasPrice_ |
| const ext::shared_ptr< FdmInnerValueCalculator > | sparkSpreadPrice_ |
| std::vector< std::function< Real(Real)> > | stateEvolveFcts_ |
Definition at line 51 of file fdmvppstepcondition.hpp.
| FdmVPPStepCondition | ( | const FdmVPPStepConditionParams & | params, |
| Size | nStates, | ||
| const FdmVPPStepConditionMesher & | mesh, | ||
| ext::shared_ptr< FdmInnerValueCalculator > | gasPrice, | ||
| ext::shared_ptr< FdmInnerValueCalculator > | sparkSpreadPrice | ||
| ) |
| Size nStates | ( | ) | const |
Implements StepCondition< Array >.
Definition at line 66 of file fdmvppstepcondition.cpp.
Here is the call graph for this function:Implemented in FdmVPPStartLimitStepCondition.
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Definition at line 90 of file fdmvppstepcondition.cpp.
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Definition at line 72 of file fdmvppstepcondition.hpp.
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Definition at line 73 of file fdmvppstepcondition.hpp.
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Definition at line 73 of file fdmvppstepcondition.hpp.
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Definition at line 74 of file fdmvppstepcondition.hpp.
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Definition at line 74 of file fdmvppstepcondition.hpp.
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Definition at line 75 of file fdmvppstepcondition.hpp.
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Definition at line 75 of file fdmvppstepcondition.hpp.
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Definition at line 76 of file fdmvppstepcondition.hpp.
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Definition at line 77 of file fdmvppstepcondition.hpp.
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Definition at line 78 of file fdmvppstepcondition.hpp.
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Definition at line 80 of file fdmvppstepcondition.hpp.
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Definition at line 81 of file fdmvppstepcondition.hpp.
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Definition at line 82 of file fdmvppstepcondition.hpp.
Definition at line 84 of file fdmvppstepcondition.hpp.