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

Inheritance diagram for FdSimpleKlugeExtOUVPPEngine:

Collaboration diagram for FdSimpleKlugeExtOUVPPEngine:

Public Types
typedef FdmExtOUJumpModelInnerValue::Shape	Shape

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	FdSimpleKlugeExtOUVPPEngine (ext::shared_ptr< KlugeExtOUProcess > process, ext::shared_ptr< YieldTermStructure > rTS, ext::shared_ptr< Shape > fuelShape, ext::shared_ptr< Shape > powerShape, Real fuelCostAddon, Size tGrid=1, Size xGrid=50, Size yGrid=10, Size gGrid=20, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())

void	calculate () const override

Public Member Functions inherited from GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Private Attributes
const ext::shared_ptr< KlugeExtOUProcess >	process_

const ext::shared_ptr< YieldTermStructure >	rTS_

const Real	fuelCostAddon_

const ext::shared_ptr< Shape >	fuelShape_

const ext::shared_ptr< Shape >	powerShape_

const Size	tGrid_

const Size	xGrid_

const Size	yGrid_

const Size	gGrid_

const FdmSchemeDesc	schemeDesc_

Additional Inherited Members
Protected Attributes inherited from GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results >
VanillaVPPOption::arguments	arguments_

VanillaVPPOption::results	results_

Detailed Description

Definition at line 39 of file fdsimpleklugeextouvppengine.hpp.

Member Typedef Documentation

◆ Shape

typedef FdmExtOUJumpModelInnerValue::Shape Shape

Definition at line 43 of file fdsimpleklugeextouvppengine.hpp.

Constructor & Destructor Documentation

◆ FdSimpleKlugeExtOUVPPEngine()

FdSimpleKlugeExtOUVPPEngine	(	ext::shared_ptr< KlugeExtOUProcess >	process,
		ext::shared_ptr< YieldTermStructure >	rTS,
		ext::shared_ptr< Shape >	fuelShape,
		ext::shared_ptr< Shape >	powerShape,
		Real	fuelCostAddon,
		Size	tGrid = `1`,
		Size	xGrid = `50`,
		Size	yGrid = `10`,
		Size	gGrid = `20`,
		const FdmSchemeDesc &	schemeDesc = `FdmSchemeDesc::Hundsdorfer()`
	)