QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
Public Types | |
typedef std::vector< std::pair< Time, Real > > | Shape |
Public Member Functions | |
FdmExtOUJumpModelInnerValue (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< FdmMesher > mesher, ext::shared_ptr< Shape > shape=ext::shared_ptr< Shape >()) | |
Real | innerValue (const FdmLinearOpIterator &iter, Time t) override |
Real | avgInnerValue (const FdmLinearOpIterator &iter, Time t) override |
Public Member Functions inherited from FdmInnerValueCalculator | |
virtual | ~FdmInnerValueCalculator ()=default |
virtual Real | innerValue (const FdmLinearOpIterator &iter, Time t)=0 |
virtual Real | avgInnerValue (const FdmLinearOpIterator &iter, Time t)=0 |
Private Attributes | |
const ext::shared_ptr< Payoff > | payoff_ |
const ext::shared_ptr< FdmMesher > | mesher_ |
const ext::shared_ptr< Shape > | shape_ |
Definition at line 36 of file fdmextoujumpmodelinnervalue.hpp.
Definition at line 38 of file fdmextoujumpmodelinnervalue.hpp.
FdmExtOUJumpModelInnerValue | ( | ext::shared_ptr< Payoff > | payoff, |
ext::shared_ptr< FdmMesher > | mesher, | ||
ext::shared_ptr< Shape > | shape = ext::shared_ptr<Shape>() |
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) |
Definition at line 40 of file fdmextoujumpmodelinnervalue.hpp.
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overridevirtual |
Implements FdmInnerValueCalculator.
Definition at line 45 of file fdmextoujumpmodelinnervalue.hpp.
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overridevirtual |
Implements FdmInnerValueCalculator.
Definition at line 56 of file fdmextoujumpmodelinnervalue.hpp.
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private |
Definition at line 61 of file fdmextoujumpmodelinnervalue.hpp.
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private |
Definition at line 62 of file fdmextoujumpmodelinnervalue.hpp.
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private |
Definition at line 63 of file fdmextoujumpmodelinnervalue.hpp.