fdndimblackscholesvanillaengine.cpp File Reference

#include <ql/exercise.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/matrixutilities/getcovariance.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/matrixutilities/symmetricschurdecomposition.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/predefined1dmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmwienerop.hpp>
#include <ql/methods/finitedifferences/solvers/fdmndimsolver.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/pricingengines/basket/fdndimblackscholesvanillaengine.hpp>
#include <ql/pricingengines/basket/vectorbsmprocessextractor.hpp>
#include <boost/preprocessor/iteration/local.hpp>
#include <utility>
#include <BOOST_PP_LOCAL_ITERATE()>

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Namespaces
namespace	QuantLib
namespace	QuantLib::detail

Macros
#define	PDE_MAX_SUPPORTED_DIM   4
#define	BOOST_PP_LOCAL_MACRO(n)
#define	BOOST_PP_LOCAL_LIMITS   (1, PDE_MAX_SUPPORTED_DIM)

Macro Definition Documentation

PDE_MAX_SUPPORTED_DIM

#define PDE_MAX_SUPPORTED_DIM   4

BOOST_PP_LOCAL_MACRO

#define BOOST_PP_LOCAL_MACRO

(

n

)

Value:

                case n : \
                    results_.value = ext::make_shared<FdmNdimSolver<n>>( \
                        solverDesc, schemeDesc_, op)->interpolateAt( \
                            std::vector<Real>(processes_.size(), 0.0)); \
                break;

BOOST_PP_LOCAL_LIMITS

#define BOOST_PP_LOCAL_LIMITS   (1, PDE_MAX_SUPPORTED_DIM)