QuantLib: Fdm2dBlackScholesSolver Class Reference

#include <fdm2dblackscholessolver.hpp>

Inheritance diagram for Fdm2dBlackScholesSolver:

Collaboration diagram for Fdm2dBlackScholesSolver:

Public Member Functions
	Fdm2dBlackScholesSolver (Handle< GeneralizedBlackScholesProcess > p1, Handle< GeneralizedBlackScholesProcess > p2, Real correlation, FdmSolverDesc solverDesc, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >())

Real	valueAt (Real x, Real y) const

Real	thetaAt (Real x, Real y) const

Real	deltaXat (Real x, Real y) const

Real	deltaYat (Real x, Real y) const

Real	gammaXat (Real x, Real y) const

Real	gammaYat (Real x, Real y) const

Real	gammaXYat (Real x, Real y) 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< GeneralizedBlackScholesProcess >	p1_

const Handle< GeneralizedBlackScholesProcess >	p2_

const Real	correlation_

const FdmSolverDesc	solverDesc_

const FdmSchemeDesc	schemeDesc_

const bool	localVol_

const Real	illegalLocalVolOverwrite_

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 36 of file fdm2dblackscholessolver.hpp.

Constructor & Destructor Documentation

◆ Fdm2dBlackScholesSolver()

Fdm2dBlackScholesSolver	(	Handle< GeneralizedBlackScholesProcess >	p1,
		Handle< GeneralizedBlackScholesProcess >	p2,
		Real	correlation,
		FdmSolverDesc	solverDesc,
		const FdmSchemeDesc &	schemeDesc = `FdmSchemeDesc::Hundsdorfer()`,
		bool	localVol = `false`,
		Real	illegalLocalVolOverwrite = `-Null<Real>()`
	)