23#ifndef quantlib_fdm_bates_solver_hpp
24#define quantlib_fdm_bates_solver_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.
Dirichlet boundary conditions for differential operators.
helper class storing market data needed for the quanto adjustment.
std::size_t Size
size of a container
Globally accessible relinkable pointer.
framework for calculation on demand and result caching
ext::shared_ptr< BlackVolTermStructure > v
static FdmSchemeDesc Hundsdorfer()