QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmcirsolver.hpp>
Public Member Functions | |
FdmCIRSolver (Handle< CoxIngersollRossProcess > process, Handle< GeneralizedBlackScholesProcess > bsProcess, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), Real rho=1.0, Real strike=1.0) | |
Real | valueAt (Real s, Real v) const |
Real | deltaAt (Real s, Real v) const |
Real | gammaAt (Real s, Real v) const |
Real | thetaAt (Real s, Real v) const |
Public Member Functions inherited from LazyObject | |
LazyObject () | |
~LazyObject () override=default | |
void | update () override |
bool | isCalculated () const |
void | forwardFirstNotificationOnly () |
void | alwaysForwardNotifications () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
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 () |
Protected Member Functions | |
void | performCalculations () const override |
Protected Member Functions inherited from LazyObject | |
virtual void | calculate () const |
Private Attributes | |
const Handle< GeneralizedBlackScholesProcess > | bsProcess_ |
const Handle< CoxIngersollRossProcess > | cirProcess_ |
const FdmSolverDesc | solverDesc_ |
const FdmSchemeDesc | schemeDesc_ |
const Real | rho_ |
const Real | strike_ |
ext::shared_ptr< Fdm2DimSolver > | solver_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Attributes inherited from LazyObject | |
bool | calculated_ = false |
bool | frozen_ = false |
bool | alwaysForward_ |
Definition at line 42 of file fdmcirsolver.hpp.
FdmCIRSolver | ( | Handle< CoxIngersollRossProcess > | process, |
Handle< GeneralizedBlackScholesProcess > | bsProcess, | ||
FdmSolverDesc | solverDesc, | ||
const FdmSchemeDesc & | schemeDesc = FdmSchemeDesc::Hundsdorfer() , |
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Real | rho = 1.0 , |
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Real | strike = 1.0 |
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) |
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overrideprotectedvirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 40 of file fdmcirsolver.cpp.
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private |
Definition at line 60 of file fdmcirsolver.hpp.
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private |
Definition at line 61 of file fdmcirsolver.hpp.
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private |
Definition at line 62 of file fdmcirsolver.hpp.
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private |
Definition at line 63 of file fdmcirsolver.hpp.
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private |
Definition at line 64 of file fdmcirsolver.hpp.
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private |
Definition at line 65 of file fdmcirsolver.hpp.
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mutableprivate |
Definition at line 67 of file fdmcirsolver.hpp.