FdMultiPeriodOption Class Reference#include <ql/Pricers/fdmultiperiodoption.hpp>
Inheritance diagram for FdMultiPeriodOption:
[legend]List of all members.
Detailed Description
- Deprecated:
- derive engines from FDMultiPeriodEngine instead
|
Public Member Functions |
Real | controlVariateCorrection () const |
Protected Member Functions |
| FdMultiPeriodOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility, Size gridPoints, const std::vector< Time > &dates, Size timeSteps) |
void | calculate () const |
virtual void | initializeControlVariate () const |
virtual void | initializeModel () const |
virtual void | initializeStepCondition () const |
virtual void | executeIntermediateStep (Size step) const =0 |
Protected Attributes |
std::vector< Time > | dates_ |
Size | dateNumber_ |
Size | timeStepPerPeriod_ |
bool | lastDateIsResTime_ |
Integer | lastIndex_ |
bool | firstDateIsZero_ |
Time | firstNonZeroDate_ |
Integer | firstIndex_ |
boost::shared_ptr< BlackFormula > | analytic_ |
Array | prices_ |
Array | controlPrices_ |
boost::shared_ptr< StandardStepCondition > | stepCondition_ |
boost::shared_ptr< StandardFiniteDifferenceModel > | model_ |
|