quant::pde::PdeParams Struct Reference

PDE pricing parameters and grid configuration. More...

#include <pde.hpp>

Collaboration diagram for quant::pde::PdeParams:

Public Types
enum class	UpperBoundary { Dirichlet , Neumann }
	Upper boundary condition type. More...

Public Attributes
bool	compute_theta {false}
	Request backward-difference Theta in addition to price/Delta/Gamma.
double	dividend
std::optional< quant::PiecewiseConstant >	dividend_schedule {}
GridSpec	grid
bool	log_space {false}
	Use log-space grid x = ln(S) for improved stability near boundaries.
double	rate
std::optional< quant::PiecewiseConstant >	rate_schedule {}
double	spot
double	strike
double	time
::quant::OptionType	type
UpperBoundary	upper_boundary {UpperBoundary::Dirichlet}
bool	use_rannacher {true}
	Apply two-step Rannacher start-up when true.
double	vol
std::optional< quant::PiecewiseConstant >	vol_schedule {}

Detailed Description

PDE pricing parameters and grid configuration.

Member Enumeration Documentation

UpperBoundary

enum class quant::pde::PdeParams::UpperBoundary

strong

Upper boundary condition type.

Enumerator
Dirichlet
Neumann

Member Data Documentation

compute_theta

bool quant::pde::PdeParams::compute_theta {false}

Request backward-difference Theta in addition to price/Delta/Gamma.

dividend

double quant::pde::PdeParams::dividend

dividend_schedule

std::optional<quant::PiecewiseConstant> quant::pde::PdeParams::dividend_schedule {}

grid

GridSpec quant::pde::PdeParams::grid

log_space

bool quant::pde::PdeParams::log_space {false}

Use log-space grid x = ln(S) for improved stability near boundaries.

rate

double quant::pde::PdeParams::rate

rate_schedule

std::optional<quant::PiecewiseConstant> quant::pde::PdeParams::rate_schedule {}

spot

double quant::pde::PdeParams::spot

strike

double quant::pde::PdeParams::strike

time

double quant::pde::PdeParams::time

type

::quant::OptionType quant::pde::PdeParams::type

upper_boundary

UpperBoundary quant::pde::PdeParams::upper_boundary {UpperBoundary::Dirichlet}

use_rannacher

bool quant::pde::PdeParams::use_rannacher {true}

Apply two-step Rannacher start-up when true.

vol

double quant::pde::PdeParams::vol

vol_schedule

std::optional<quant::PiecewiseConstant> quant::pde::PdeParams::vol_schedule {}

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The documentation for this struct was generated from the following file:

• include/quant/pde.hpp