QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
PdeConstantCoeff< PdeClass > Class Template Reference

#include <pde.hpp>

+ Inheritance diagram for PdeConstantCoeff< PdeClass >:
+ Collaboration diagram for PdeConstantCoeff< PdeClass >:

Public Member Functions

 PdeConstantCoeff (const typename PdeClass::argument_type &process, Time t, Real x)
 
Real diffusion (Time, Real) const override
 
Real drift (Time, Real) const override
 
Real discount (Time, Real) const override
 
- Public Member Functions inherited from PdeSecondOrderParabolic
virtual ~PdeSecondOrderParabolic ()=default
 
virtual Real diffusion (Time t, Real x) const =0
 
virtual Real drift (Time t, Real x) const =0
 
virtual Real discount (Time t, Real x) const =0
 
virtual void generateOperator (Time t, const TransformedGrid &tg, TridiagonalOperator &L) const
 

Private Attributes

Real diffusion_
 
Real drift_
 
Real discount_
 

Detailed Description

template<class PdeClass>
class QuantLib::PdeConstantCoeff< PdeClass >

Definition at line 55 of file pde.hpp.

Constructor & Destructor Documentation

◆ PdeConstantCoeff()

PdeConstantCoeff ( const typename PdeClass::argument_type &  process,
Time  t,
Real  x 
)

Definition at line 57 of file pde.hpp.

Member Function Documentation

◆ diffusion()

Real diffusion ( Time  ,
Real   
) const
overridevirtual

Implements PdeSecondOrderParabolic.

Definition at line 64 of file pde.hpp.

◆ drift()

Real drift ( Time  ,
Real   
) const
overridevirtual

Implements PdeSecondOrderParabolic.

Definition at line 65 of file pde.hpp.

◆ discount()

Real discount ( Time  ,
Real   
) const
overridevirtual

Implements PdeSecondOrderParabolic.

Definition at line 66 of file pde.hpp.

Member Data Documentation

◆ diffusion_

Real diffusion_
private

Definition at line 69 of file pde.hpp.

◆ drift_

Real drift_
private

Definition at line 70 of file pde.hpp.

◆ discount_

Real discount_
private

Definition at line 71 of file pde.hpp.