marian::AbstractPricerFactory Class Reference

Class implements the interface for Abstract Factory. More...

#include <pricerAbstractFactory.hpp>

Inheritance diagram for marian::AbstractPricerFactory:

Public Member Functions
	AbstractPricerFactory ()
	Default constructor.
virtual std::vector< SmartPointer< BoundaryCondition > >	getBoundarySpotConditions (Market mkt, double low, double upp)=0
	Returns boundary conditions. More...
virtual std::vector< double >	initialCondition (const std::vector< double > &)=0
	Calculates initial condition for a given vector of spots.
virtual double	lowerSpotLmt ()=0
	Returns lower boundary level.
virtual double	upperSpotLmt ()=0
	Returns upper boundary level.
virtual double	getConcentrationPoint ()=0
	Returns concentration point used by non-uniform grid builders.
virtual AbstractPricerFactory *	clone () const =0
	Virtual copy construct.
virtual	~AbstractPricerFactory ()
	destructor

Detailed Description

Class implements the interface for Abstract Factory (see [7]). When we price an option using FDM method we need to transform financial contract terms into boundary and initial conditions, discrete grid etc. This tasks are delegated to separate classes: factories with common interface defined here.

Member Function Documentation

virtual std::vector<SmartPointer<BoundaryCondition> > marian::AbstractPricerFactory::getBoundarySpotConditions ( Market  mkt, double  low, double  upp  )

pure virtual

Parameters

mkt	Market data needed to construct boundary conditions
low	Lower boundary
upp	Upper boundary

Returns

Vector of boundary conditions

Implemented in marian::EuroOptFactory.

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

• C:/Unix/home/OEM/fdm/src/financial/options/pricerAbstractFactory.hpp