Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

Public Types | Public Member Functions | Protected Member Functions | Private Member Functions | Private Attributes

QuantLib::FdmSimple2dBSSolver Class Reference

Inheritance diagram for QuantLib::FdmSimple2dBSSolver:
Inheritance graph
Collaboration diagram for QuantLib::FdmSimple2dBSSolver:
Collaboration graph

List of all members.

Public Types

typedef std::vector
< boost::shared_ptr
< FdmDirichletBoundary > > 

Public Member Functions

Real deltaAt (Real s, Real a, Real eps) const
 FdmSimple2dBSSolver (const Handle< GeneralizedBlackScholesProcess > &process, const boost::shared_ptr< FdmMesher > &mesher, const BoundaryConditionSet &bcSet, const boost::shared_ptr< FdmStepConditionComposite > &condition, const boost::shared_ptr< FdmInnerValueCalculator > &calculator, Real strike, Time maturity, Size timeSteps, Real theta=0.5)
Real gammaAt (Real s, Real a, Real eps) const
Real thetaAt (Real s, Real a) const
Real valueAt (Real s, Real a) const

Protected Member Functions

void performCalculations () const

Private Member Functions

void notifyObservers ()
void registerWith (const boost::shared_ptr< Observable > &)
void unregisterWith (const boost::shared_ptr< Observable > &)
Observer interface
void update ()

These methods do not modify the structure of the object and are therefore declared as const. Data members which will be calculated on demand need to be declared as mutable.

void recalculate ()
void freeze ()
void unfreeze ()
virtual void calculate () const

Private Attributes

std::vector< Reala_
const BoundaryConditionSet bcSet_
bool calculated_
const boost::shared_ptr
< FdmStepConditionComposite
bool frozen_
std::vector< RealinitialValues_
boost::shared_ptr< BicubicSplineinterpolation_
const Time maturity_
const boost::shared_ptr
< FdmMesher
< GeneralizedBlackScholesProcess
Matrix resultValues_
const Real strike_
const Real theta_
const boost::shared_ptr
< FdmSnapshotCondition
const Size timeSteps_
std::vector< Realx_

Detailed Description

Definition at line 40 of file fdmsimple2dbssolver.hpp.

The documentation for this class was generated from the following files:

Generated by  Doxygen 1.6.0   Back to index