FdmBatesSolver Class Reference

#include <fdmbatessolver.hpp>

Inheritance diagram for FdmBatesSolver:

Collaboration diagram for FdmBatesSolver:

Public Member Functions
	FdmBatesSolver (Handle< BatesProcess > process, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), Size integroIntegrationOrder=12, Handle< FdmQuantoHelper > quantoHelper=Handle< FdmQuantoHelper >())
Real	valueAt (Real s, Real v) const
Real	thetaAt (Real s, Real v) const
Real	deltaAt (Real s, Real v) const
Real	gammaAt (Real s, Real v) const
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
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 ()

Protected Member Functions
void	performCalculations () const override
Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Private Attributes
const Handle< BatesProcess >	process_
const FdmSolverDesc	solverDesc_
const FdmSchemeDesc	schemeDesc_
const Size	integroIntegrationOrder_
const Handle< FdmQuantoHelper >	quantoHelper_
ext::shared_ptr< Fdm2DimSolver >	solver_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Definition at line 37 of file fdmbatessolver.hpp.

Constructor & Destructor Documentation

FdmBatesSolver()

FdmBatesSolver	(	Handle< BatesProcess >	process,
		FdmSolverDesc	solverDesc,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Hundsdorfer(),
		Size	integroIntegrationOrder = 12,
		Handle< FdmQuantoHelper >	quantoHelper = Handle<FdmQuantoHelper>()
	)

Definition at line 32 of file fdmbatessolver.cpp.

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Member Function Documentation

valueAt()

Real valueAt	(	Real	s,
		Real	v
	)		const

Definition at line 55 of file fdmbatessolver.cpp.

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thetaAt()

Real thetaAt	(	Real	s,
		Real	v
	)		const

Definition at line 71 of file fdmbatessolver.cpp.

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deltaAt()

Real deltaAt	(	Real	s,
		Real	v
	)		const

Definition at line 60 of file fdmbatessolver.cpp.

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gammaAt()

Real gammaAt	(	Real	s,
		Real	v
	)		const

Definition at line 65 of file fdmbatessolver.cpp.

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performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 43 of file fdmbatessolver.cpp.

Member Data Documentation

process_

const Handle<BatesProcess> process_

private

Definition at line 60 of file fdmbatessolver.hpp.

solverDesc_

const FdmSolverDesc solverDesc_

private

Definition at line 61 of file fdmbatessolver.hpp.

schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 62 of file fdmbatessolver.hpp.

integroIntegrationOrder_

const Size integroIntegrationOrder_

private

Definition at line 63 of file fdmbatessolver.hpp.

quantoHelper_

const Handle<FdmQuantoHelper> quantoHelper_

private

Definition at line 64 of file fdmbatessolver.hpp.

solver_

ext::shared_ptr<Fdm2DimSolver> solver_

mutableprivate

Definition at line 66 of file fdmbatessolver.hpp.