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
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Public Member Functions |
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Real | controlVariateCorrection () const |
Protected Member Functions |
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| 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) |
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void | calculate () const |
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virtual void | initializeControlVariate () const |
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virtual void | initializeModel () const |
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virtual void | initializeStepCondition () const |
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virtual void | executeIntermediateStep (Size step) const =0 |
Protected Attributes |
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std::vector< Time > | dates_ |
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Size | dateNumber_ |
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Size | timeStepPerPeriod_ |
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bool | lastDateIsResTime_ |
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Integer | lastIndex_ |
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bool | firstDateIsZero_ |
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Time | firstNonZeroDate_ |
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Integer | firstIndex_ |
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boost::shared_ptr< BlackFormula > | analytic_ |
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Array | prices_ |
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Array | controlPrices_ |
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boost::shared_ptr< StandardStepCondition > | stepCondition_ |
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boost::shared_ptr< StandardFiniteDifferenceModel > | model_ |
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