23#ifndef quantlib_fdm_cir_solver_hpp
24#define quantlib_fdm_cir_solver_hpp
67 mutable ext::shared_ptr<Fdm2DimSolver>
solver_;
ext::shared_ptr< Fdm2DimSolver > solver_
const Handle< CoxIngersollRossProcess > cirProcess_
void performCalculations() const override
Real thetaAt(Real s, Real v) const
const Handle< GeneralizedBlackScholesProcess > bsProcess_
const FdmSolverDesc solverDesc_
Real gammaAt(Real s, Real v) const
Real valueAt(Real s, Real v) const
Real deltaAt(Real s, Real v) const
const FdmSchemeDesc schemeDesc_
Shared handle to an observable.
Framework for calculation on demand and result caching.
Cox-Ingersoll-Ross model.
CoxIngersollRoss process.
Dirichlet boundary conditions for differential operators.
helper class storing market data needed for the quanto adjustment.
Globally accessible relinkable pointer.
framework for calculation on demand and result caching
Local volatility term structure base class.
ext::shared_ptr< BlackVolTermStructure > v
static FdmSchemeDesc Hundsdorfer()