QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
methods
finitedifferences
stepconditions
fdmsnapshotcondition.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2008 Andreas Gaida
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Copyright (C) 2008 Ralph Schreyer
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Copyright (C) 2008 Klaus Spanderen
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file fdmsnapshotcondition.hpp
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\brief step condition for value inspection
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*/
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#ifndef quantlib_fdm_snapshot_condition_hpp
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#define quantlib_fdm_snapshot_condition_hpp
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#include <
ql/methods/finitedifferences/stepcondition.hpp
>
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namespace
QuantLib
{
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class
FdmSnapshotCondition
:
public
StepCondition
<Array> {
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public
:
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explicit
FdmSnapshotCondition
(
Time
t
);
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void
applyTo
(
Array
& a,
Time
t
)
const override
;
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Time
getTime
()
const
;
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const
Array
&
getValues
()
const
;
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private
:
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const
Time
t_
;
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mutable
Array
values_
;
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};
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}
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#endif
QuantLib::Array
1-D array used in linear algebra.
Definition:
array.hpp:52
QuantLib::FdmSnapshotCondition
Definition:
fdmsnapshotcondition.hpp:33
QuantLib::FdmSnapshotCondition::getTime
Time getTime() const
Definition:
fdmsnapshotcondition.cpp:37
QuantLib::FdmSnapshotCondition::getValues
const Array & getValues() const
Definition:
fdmsnapshotcondition.cpp:42
QuantLib::FdmSnapshotCondition::t_
const Time t_
Definition:
fdmsnapshotcondition.hpp:42
QuantLib::FdmSnapshotCondition::values_
Array values_
Definition:
fdmsnapshotcondition.hpp:43
QuantLib::FdmSnapshotCondition::applyTo
void applyTo(Array &a, Time t) const override
Definition:
fdmsnapshotcondition.cpp:31
QuantLib::StepCondition
condition to be applied at every time step
Definition:
stepcondition.hpp:35
t
const DefaultType & t
Definition:
defaultprobabilitykey.cpp:39
QuantLib::Time
Real Time
continuous quantity with 1-year units
Definition:
types.hpp:62
QuantLib
Definition:
any.hpp:35
stepcondition.hpp
conditions to be applied at every time step
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