FdmExpExtOUInnerValueCalculator Class Reference

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

Inheritance diagram for FdmExpExtOUInnerValueCalculator:

Collaboration diagram for FdmExpExtOUInnerValueCalculator:

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

Public Member Functions
	FdmExpExtOUInnerValueCalculator (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< FdmMesher > mesher, ext::shared_ptr< Shape > shape=ext::shared_ptr< Shape >(), Size direction=0)
Real	innerValue (const FdmLinearOpIterator &iter, Time t) override
Real	avgInnerValue (const FdmLinearOpIterator &iter, Time t) override
Public Member Functions inherited from FdmInnerValueCalculator
virtual	~FdmInnerValueCalculator ()=default
virtual Real	innerValue (const FdmLinearOpIterator &iter, Time t)=0
virtual Real	avgInnerValue (const FdmLinearOpIterator &iter, Time t)=0

Private Attributes
const Size	direction_
const ext::shared_ptr< Payoff >	payoff_
const ext::shared_ptr< FdmMesher >	mesher_
const ext::shared_ptr< Shape >	shape_

Detailed Description

Definition at line 35 of file fdmexpextouinnervaluecalculator.hpp.

Member Typedef Documentation

Shape

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

Definition at line 37 of file fdmexpextouinnervaluecalculator.hpp.

Constructor & Destructor Documentation

FdmExpExtOUInnerValueCalculator()

FdmExpExtOUInnerValueCalculator	(	ext::shared_ptr< Payoff >	payoff,
		ext::shared_ptr< FdmMesher >	mesher,
		ext::shared_ptr< Shape >	shape = ext::shared_ptr<Shape>(),
		Size	direction = 0
	)

Definition at line 39 of file fdmexpextouinnervaluecalculator.hpp.

Member Function Documentation

innerValue()

Real innerValue ( const FdmLinearOpIterator &  iter, Time  t  )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 46 of file fdmexpextouinnervaluecalculator.hpp.

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avgInnerValue()

Real avgInnerValue ( const FdmLinearOpIterator &  iter, Time  t  )

overridevirtual

Implements FdmInnerValueCalculator.

Definition at line 57 of file fdmexpextouinnervaluecalculator.hpp.

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Member Data Documentation

direction_

const Size direction_

private

Definition at line 62 of file fdmexpextouinnervaluecalculator.hpp.

payoff_

const ext::shared_ptr<Payoff> payoff_

private

Definition at line 63 of file fdmexpextouinnervaluecalculator.hpp.

mesher_

const ext::shared_ptr<FdmMesher> mesher_

private

Definition at line 64 of file fdmexpextouinnervaluecalculator.hpp.

shape_

const ext::shared_ptr<Shape> shape_

private

Definition at line 65 of file fdmexpextouinnervaluecalculator.hpp.