n-dimensional finite-differences Black Scholes vanilla option engine More...

#include <fdndimblackscholesvanillaengine.hpp>

Inheritance diagram for FdndimBlackScholesVanillaEngine:

Collaboration diagram for FdndimBlackScholesVanillaEngine:

Public Member Functions
	FdndimBlackScholesVanillaEngine (std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > > processes, Matrix rho, std::vector< Size > xGrids, Size tGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas())

	FdndimBlackScholesVanillaEngine (std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > > processes, Matrix rho, Size xGrid, Size tGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas())

void	calculate () const override

Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Private Attributes
const std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > >	processes_

const Matrix	rho_

const std::vector< Size >	xGrids_

const Size	tGrid_

const Size	dampingSteps_

const FdmSchemeDesc	schemeDesc_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments	arguments_

BasketOption::results	results_

Detailed Description

n-dimensional finite-differences Black Scholes vanilla option engine

Tests:: the correctness of the returned value is tested by reproducing results available in web/literature and comparison with the PyFENG python package.

Definition at line 43 of file fdndimblackscholesvanillaengine.hpp.

Constructor & Destructor Documentation

◆ FdndimBlackScholesVanillaEngine() [1/2]

FdndimBlackScholesVanillaEngine	(	std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > >	processes,
		Matrix	rho,
		std::vector< Size >	xGrids,
		Size	tGrid = `50`,
		Size	dampingSteps = `0`,
		const FdmSchemeDesc &	schemeDesc = `FdmSchemeDesc::Douglas()`
	)

Definition at line 91 of file fdndimblackscholesvanillaengine.cpp.

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◆ FdndimBlackScholesVanillaEngine() [2/2]

FdndimBlackScholesVanillaEngine	(	std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > >	processes,
		Matrix	rho,
		Size	xGrid,
		Size	tGrid = `50`,
		Size	dampingSteps = `0`,
		const FdmSchemeDesc &	schemeDesc = `FdmSchemeDesc::Douglas()`
	)