Class FdmLogBasketInnerValue

The inner value of a basket payoff on a mesher of the assets' log prices: the payoff at each point's prices.

[WorkingType]
public sealed class FdmLogBasketInnerValue : FdmInnerValueCalculator

Inherited Members: object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A working type: it holds the buffer of a point's prices, which QuantLib builds per call, so a call allocates nothing.

Initializes a new instance of the FdmLogBasketInnerValue class.

public FdmLogBasketInnerValue(BasketPayoff payoff, FdmMesher mesher)

The inner value, the payoff at the point's prices: QuantLib takes no cell average here.

public override double AvgInnerValue(FdmLinearOpIterator iter, double t)

The payoff at the point's prices, the exponentials of its locations.

public override double InnerValue(FdmLinearOpIterator iter, double t)