23#ifndef quantlib_fdm_bates_solver_hpp
24#define quantlib_fdm_bates_solver_hpp
26#include <ql/handle.hpp>
27#include <ql/patterns/lazyobject.hpp>
28#include <ql/methods/finitedifferences/utilities/fdmquantohelper.hpp>
29#include <ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp>
30#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
31#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>
42 Size integroIntegrationOrder = 12,
66 mutable ext::shared_ptr<Fdm2DimSolver>
solver_;
ext::shared_ptr< Fdm2DimSolver > solver_
void performCalculations() const override
Real thetaAt(Real s, Real v) const
const FdmSolverDesc solverDesc_
const Handle< BatesProcess > process_
Real gammaAt(Real s, Real v) const
Real valueAt(Real s, Real v) const
Real deltaAt(Real s, Real v) const
const Handle< FdmQuantoHelper > quantoHelper_
const Size integroIntegrationOrder_
const FdmSchemeDesc schemeDesc_
Shared handle to an observable.
Framework for calculation on demand and result caching.
std::size_t Size
size of a container
static FdmSchemeDesc Hundsdorfer()