QdFpLegendreScheme Class Reference

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

#include <qdfpamericanengine.hpp>

Inheritance diagram for QdFpLegendreScheme:

Collaboration 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
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 >	fpIntegrator_
const ext::shared_ptr< Integrator >	exerciseBoundaryIntegrator_

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

Definition at line 53 of file qdfpamericanengine.hpp.

Constructor & Destructor Documentation

QdFpLegendreScheme()

QdFpLegendreScheme	(	Size	l,
		Size	m,
		Size	n,
		Size	p
	)

Definition at line 37 of file qdfpamericanengine.cpp.

Member Function Documentation

getNumberOfChebyshevInterpolationNodes()

Size getNumberOfChebyshevInterpolationNodes ( ) const

overridevirtual

Implements QdFpIterationScheme.

Definition at line 48 of file qdfpamericanengine.cpp.

getNumberOfNaiveFixedPointSteps()

Size getNumberOfNaiveFixedPointSteps ( ) const

overridevirtual

Implements QdFpIterationScheme.

Definition at line 52 of file qdfpamericanengine.cpp.

getNumberOfJacobiNewtonFixedPointSteps()

Size getNumberOfJacobiNewtonFixedPointSteps ( ) const

overridevirtual

Implements QdFpIterationScheme.

Definition at line 55 of file qdfpamericanengine.cpp.

getFixedPointIntegrator()

ext::shared_ptr< Integrator > getFixedPointIntegrator ( ) const

overridevirtual

Implements QdFpIterationScheme.

Definition at line 61 of file qdfpamericanengine.cpp.

getExerciseBoundaryToPriceIntegrator()

ext::shared_ptr< Integrator > getExerciseBoundaryToPriceIntegrator ( ) const

overridevirtual

Implements QdFpIterationScheme.

Reimplemented in QdFpLegendreTanhSinhScheme.

Definition at line 65 of file qdfpamericanengine.cpp.

Member Data Documentation

m_

const Size m_

private

Definition at line 65 of file qdfpamericanengine.hpp.

n_

const Size n_

private

Definition at line 65 of file qdfpamericanengine.hpp.

fpIntegrator_

const ext::shared_ptr<Integrator> fpIntegrator_

private

Definition at line 66 of file qdfpamericanengine.hpp.

exerciseBoundaryIntegrator_

const ext::shared_ptr<Integrator> exerciseBoundaryIntegrator_

private

Definition at line 67 of file qdfpamericanengine.hpp.