Abstract base class for dividend engines. More...
#include <ql/pricingengines/vanilla/fddividendengine.hpp>
Public Member Functions | |
FDDividendEngineBase (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
Protected Member Functions | |
virtual void | setupArguments (const PricingEngine::arguments *) const |
void | setGridLimits () const =0 |
void | executeIntermediateStep (Size step) const =0 |
Real | getDividendAmount (Size i) const |
Real | getDiscountedDividend (Size i) const |
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FDMultiPeriodEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false) | |
virtual void | setupArguments (const PricingEngine::arguments *args, const std::vector< boost::shared_ptr< Event > > &schedule) const |
virtual void | setupArguments (const PricingEngine::arguments *a) const |
virtual void | calculate (PricingEngine::results *) const |
virtual void | executeIntermediateStep (Size step) const =0 |
virtual void | initializeStepCondition () const |
virtual void | initializeModel () const |
Time | getDividendTime (Size i) const |
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virtual void | setGridLimits (Real, Time) const |
virtual void | initializeInitialCondition () const |
virtual void | initializeBoundaryConditions () const |
virtual void | initializeOperator () const |
virtual Time | getResidualTime () const |
void | ensureStrikeInGrid () const |
Additional Inherited Members | |
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typedef FiniteDifferenceModel < Scheme< TridiagonalOperator > > | model_type |
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std::vector< boost::shared_ptr < Event > > | events_ |
std::vector< Time > | stoppingTimes_ |
Size | timeStepPerPeriod_ |
SampledCurve | prices_ |
boost::shared_ptr < StandardStepCondition > | stepCondition_ |
boost::shared_ptr< model_type > | model_ |
Abstract base class for dividend engines.