QdFpTanhSinhIterationScheme Class Reference

tanh-sinh (m,n)-eps Scheme More...

#include <ql/pricingengines/vanilla/qdfpamericanengine.hpp>

Inheritance diagram for QdFpTanhSinhIterationScheme:

Collaboration diagram for QdFpTanhSinhIterationScheme:

Public Member Functions
	QdFpTanhSinhIterationScheme (Size m, Size n, Real eps)
Size	getNumberOfChebyshevInterpolationNodes () const override
Size	getNumberOfNaiveFixedPointSteps () const override
Size	getNumberOfJacobiNewtonFixedPointSteps () const override
ext::shared_ptr< Integrator >	getFixedPointIntegrator () const override
ext::shared_ptr< Integrator >	getExerciseBoundaryToPriceIntegrator () const override
Public Member Functions inherited from QdFpIterationScheme
virtual Size	getNumberOfChebyshevInterpolationNodes () const =0
virtual Size	getNumberOfNaiveFixedPointSteps () const =0
virtual Size	getNumberOfJacobiNewtonFixedPointSteps () const =0
virtual ext::shared_ptr< Integrator >	getFixedPointIntegrator () const =0
virtual ext::shared_ptr< Integrator >	getExerciseBoundaryToPriceIntegrator () const =0
virtual	~QdFpIterationScheme ()=default

Private Attributes
const Size	m_
const Size	n_
const ext::shared_ptr< Integrator >	integrator_

Detailed Description

tanh-sinh (m,n)-eps Scheme

Parameters

m	fixed point iteration steps, first step is a partial Jacobi-Newton, the rest are naive Richardson fixed point iterations
n	number of Chebyshev nodes to interpolate the exercise boundary
eps	tanh-sinh integration precision

Definition at line 94 of file qdfpamericanengine.hpp.

Constructor & Destructor Documentation

QdFpTanhSinhIterationScheme()

QdFpTanhSinhIterationScheme	(	Size	m,
		Size	n,
		Real	eps
	)

Definition at line 70 of file qdfpamericanengine.cpp.

Member Function Documentation

getNumberOfChebyshevInterpolationNodes()

Size getNumberOfChebyshevInterpolationNodes ( ) const

overridevirtual

Implements QdFpIterationScheme.

Definition at line 81 of file qdfpamericanengine.cpp.

getNumberOfNaiveFixedPointSteps()

Size getNumberOfNaiveFixedPointSteps ( ) const

overridevirtual

Implements QdFpIterationScheme.

Definition at line 85 of file qdfpamericanengine.cpp.

getNumberOfJacobiNewtonFixedPointSteps()

Size getNumberOfJacobiNewtonFixedPointSteps ( ) const

overridevirtual

Implements QdFpIterationScheme.

Definition at line 88 of file qdfpamericanengine.cpp.

getFixedPointIntegrator()

ext::shared_ptr< Integrator > getFixedPointIntegrator ( ) const

overridevirtual

Implements QdFpIterationScheme.

Definition at line 94 of file qdfpamericanengine.cpp.

getExerciseBoundaryToPriceIntegrator()

ext::shared_ptr< Integrator > getExerciseBoundaryToPriceIntegrator ( ) const

overridevirtual

Implements QdFpIterationScheme.

Definition at line 98 of file qdfpamericanengine.cpp.

Member Data Documentation

m_

const Size m_

private

Definition at line 105 of file qdfpamericanengine.hpp.

n_

const Size n_

private

Definition at line 105 of file qdfpamericanengine.hpp.

integrator_

const ext::shared_ptr<Integrator> integrator_

private

Definition at line 106 of file qdfpamericanengine.hpp.