QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
methods
finitedifferences
utilities
fdmhestongreensfct.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) 2014 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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#ifndef quantlib_fdm_heston_greens_fct_hpp
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#define quantlib_fdm_heston_greens_fct_hpp
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#include <ql/methods/finitedifferences/operators/fdmsquarerootfwdop.hpp>
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namespace
QuantLib
{
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class
HestonProcess;
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class
FdmHestonGreensFct
{
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public
:
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enum
Algorithm
{
ZeroCorrelation
,
Gaussian
,
SemiAnalytical
};
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FdmHestonGreensFct
(ext::shared_ptr<FdmMesher> mesher,
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ext::shared_ptr<HestonProcess> process,
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FdmSquareRootFwdOp::TransformationType
trafoType_
,
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Real
l0 = 1.0);
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Array
get(
Time
t,
Algorithm
algorithm)
const
;
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private
:
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const
Real
l0_
;
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const
ext::shared_ptr<FdmMesher>
mesher_
;
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const
ext::shared_ptr<HestonProcess>
process_
;
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const
FdmSquareRootFwdOp::TransformationType
trafoType_
;
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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::FdmHestonGreensFct
Definition:
fdmhestongreensfct.hpp:32
QuantLib::FdmHestonGreensFct::Algorithm
Algorithm
Definition:
fdmhestongreensfct.hpp:34
QuantLib::FdmHestonGreensFct::ZeroCorrelation
@ ZeroCorrelation
Definition:
fdmhestongreensfct.hpp:34
QuantLib::FdmHestonGreensFct::SemiAnalytical
@ SemiAnalytical
Definition:
fdmhestongreensfct.hpp:34
QuantLib::FdmHestonGreensFct::Gaussian
@ Gaussian
Definition:
fdmhestongreensfct.hpp:34
QuantLib::FdmHestonGreensFct::mesher_
const ext::shared_ptr< FdmMesher > mesher_
Definition:
fdmhestongreensfct.hpp:45
QuantLib::FdmHestonGreensFct::trafoType_
const FdmSquareRootFwdOp::TransformationType trafoType_
Definition:
fdmhestongreensfct.hpp:47
QuantLib::FdmHestonGreensFct::process_
const ext::shared_ptr< HestonProcess > process_
Definition:
fdmhestongreensfct.hpp:46
QuantLib::FdmHestonGreensFct::l0_
const Real l0_
Definition:
fdmhestongreensfct.hpp:44
QuantLib::FdmSquareRootFwdOp::TransformationType
TransformationType
Definition:
fdmsquarerootfwdop.hpp:38
QuantLib::Time
Real Time
continuous quantity with 1-year units
Definition:
types.hpp:62
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
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