FdmInnerValueCalculator Class Reference

#include <fdminnervaluecalculator.hpp>

Inheritance diagram for FdmInnerValueCalculator:

Collaboration diagram for FdmInnerValueCalculator:

Public Member Functions
virtual	~FdmInnerValueCalculator ()=default
virtual Real	innerValue (const FdmLinearOpIterator &iter, Time t)=0
virtual Real	avgInnerValue (const FdmLinearOpIterator &iter, Time t)=0

Detailed Description

Definition at line 43 of file fdminnervaluecalculator.hpp.

Constructor & Destructor Documentation

~FdmInnerValueCalculator()

virtual ~FdmInnerValueCalculator ( )

virtualdefault

Member Function Documentation

innerValue()

virtual Real innerValue ( const FdmLinearOpIterator &  iter, Time  t  )

pure virtual

Implemented in FdmZeroInnerValue, FdmExpExtOUInnerValueCalculator, FdmExtOUJumpModelInnerValue, FdmSpreadPayoffInnerValue, FdmAffineModelSwapInnerValue< ModelType >, FdmEscrowedLogInnerValueCalculator, FdmShoutLogInnerValueCalculator, FdmCellAveragingInnerValue, and FdmLogBasketInnerValue.

avgInnerValue()

virtual Real avgInnerValue ( const FdmLinearOpIterator &  iter, Time  t  )

pure virtual

Implemented in FdmZeroInnerValue, FdmExpExtOUInnerValueCalculator, FdmExtOUJumpModelInnerValue, FdmSpreadPayoffInnerValue, FdmAffineModelSwapInnerValue< ModelType >, FdmEscrowedLogInnerValueCalculator, FdmCellAveragingInnerValue, FdmShoutLogInnerValueCalculator, and FdmLogBasketInnerValue.