FdBlackScholesShoutEngine Class Reference

#include <fdblackscholesshoutengine.hpp>

Inheritance diagram for FdBlackScholesShoutEngine:

Collaboration diagram for FdBlackScholesShoutEngine:

Public Member Functions
	FdBlackScholesShoutEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas())
	FdBlackScholesShoutEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, DividendSchedule dividends, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas())
void	calculate () const override

Private Attributes
const ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
DividendSchedule	dividends_
const Size	tGrid_
const Size	xGrid_
const Size	dampingSteps_
const FdmSchemeDesc	schemeDesc_

Detailed Description

Definition at line 35 of file fdblackscholesshoutengine.hpp.

Constructor & Destructor Documentation

FdBlackScholesShoutEngine() [1/2]

FdBlackScholesShoutEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process, Size  tGrid = 100, Size  xGrid = 100, Size  dampingSteps = 0, const FdmSchemeDesc &  schemeDesc = FdmSchemeDesc::Douglas()  )

explicit

Definition at line 35 of file fdblackscholesshoutengine.cpp.

FdBlackScholesShoutEngine() [2/2]

FdBlackScholesShoutEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		DividendSchedule	dividends,
		Size	tGrid = 100,
		Size	xGrid = 100,
		Size	dampingSteps = 0,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Douglas()
	)

Definition at line 47 of file fdblackscholesshoutengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 60 of file fdblackscholesshoutengine.cpp.

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Member Data Documentation

process_

const ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 56 of file fdblackscholesshoutengine.hpp.

dividends_

DividendSchedule dividends_

private

Definition at line 57 of file fdblackscholesshoutengine.hpp.

tGrid_

const Size tGrid_

private

Definition at line 58 of file fdblackscholesshoutengine.hpp.

xGrid_

const Size xGrid_

private

Definition at line 58 of file fdblackscholesshoutengine.hpp.

dampingSteps_

const Size dampingSteps_

private

Definition at line 58 of file fdblackscholesshoutengine.hpp.

schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 59 of file fdblackscholesshoutengine.hpp.