QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmvppstepcondition.hpp>
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< ext::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.
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.