QdFpLegendreScheme Class Reference

Gauss-Legendre (l,m,n)-p Scheme. More...

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

Inheritance diagram for QdFpLegendreScheme:

Public Member Functions
	QdFpLegendreScheme (Size l, Size m, Size n, Size p)
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

Detailed Description

Gauss-Legendre (l,m,n)-p Scheme.

Parameters

l	order of Gauss-Legendre integration within every fixed point iteration step
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
p	order of Gauss-Legendre integration in final conversion of the exercise boundary into option prices

Member Function Documentation

getNumberOfChebyshevInterpolationNodes()

Size getNumberOfChebyshevInterpolationNodes ( ) const

overridevirtual

Implements QdFpIterationScheme.

getNumberOfNaiveFixedPointSteps()

Size getNumberOfNaiveFixedPointSteps ( ) const

overridevirtual

Implements QdFpIterationScheme.

getNumberOfJacobiNewtonFixedPointSteps()

Size getNumberOfJacobiNewtonFixedPointSteps ( ) const

overridevirtual

Implements QdFpIterationScheme.

getFixedPointIntegrator()

ext::shared_ptr< Integrator > getFixedPointIntegrator ( ) const

overridevirtual

Implements QdFpIterationScheme.

getExerciseBoundaryToPriceIntegrator()

ext::shared_ptr< Integrator > getExerciseBoundaryToPriceIntegrator ( ) const

overridevirtual

Implements QdFpIterationScheme.