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

Inheritance diagram for FdKlugeExtOUSpreadEngine:

Collaboration diagram for FdKlugeExtOUSpreadEngine:

Public Types
typedef FdmExtOUJumpModelInnerValue::Shape	GasShape

typedef FdmExtOUJumpModelInnerValue::Shape	PowerShape

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	FdKlugeExtOUSpreadEngine (ext::shared_ptr< KlugeExtOUProcess > klugeOUProcess, ext::shared_ptr< YieldTermStructure > rTS, Size tGrid=25, Size xGrid=50, Size yGrid=10, Size uGrid=25, ext::shared_ptr< GasShape > gasShape=ext::shared_ptr< GasShape >(), ext::shared_ptr< PowerShape > powerShape=ext::shared_ptr< PowerShape >(), const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())

void	calculate () const override

Public Member Functions inherited from GenericEngine< VanillaOption::arguments, VanillaOption::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 >	klugeOUProcess_

const ext::shared_ptr< YieldTermStructure >	rTS_

const Size	tGrid_

const Size	xGrid_

const Size	yGrid_

const Size	uGrid_

const ext::shared_ptr< GasShape >	gasShape_

const ext::shared_ptr< PowerShape >	powerShape_

const FdmSchemeDesc	schemeDesc_

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

VanillaOption::results	results_

Detailed Description

Definition at line 41 of file fdklugeextouspreadengine.hpp.

Member Typedef Documentation

◆ GasShape

typedef FdmExtOUJumpModelInnerValue::Shape GasShape

Definition at line 45 of file fdklugeextouspreadengine.hpp.

◆ PowerShape

typedef FdmExtOUJumpModelInnerValue::Shape PowerShape

Definition at line 46 of file fdklugeextouspreadengine.hpp.

Constructor & Destructor Documentation

◆ FdKlugeExtOUSpreadEngine()

FdKlugeExtOUSpreadEngine	(	ext::shared_ptr< KlugeExtOUProcess >	klugeOUProcess,
		ext::shared_ptr< YieldTermStructure >	rTS,
		Size	tGrid = `25`,
		Size	xGrid = `50`,
		Size	yGrid = `10`,
		Size	uGrid = `25`,
		ext::shared_ptr< GasShape >	gasShape = `ext::shared_ptr<GasShape>()`,
		ext::shared_ptr< PowerShape >	powerShape = `ext::shared_ptr<PowerShape>()`,
		const FdmSchemeDesc &	schemeDesc = `FdmSchemeDesc::Hundsdorfer()`
	)