Class FdKlugeExtOUSpreadEngine

constructor

• new FdKlugeExtOUSpreadEngine(klugeOUProcess: KlugeExtOUProcess, rTS: YieldTermStructure, tGrid?: Size, xGrid?: Size, yGrid?: Size, uGrid?: Size, gasShape?: GasShape, powerShape?: PowerShape, schemeDesc?: FdmSchemeDesc): FdKlugeExtOUSpreadEngine

• Parameters

  • klugeOUProcess: KlugeExtOUProcess

  • rTS: YieldTermStructure

  • Default value tGrid: Size = 25

  • Default value xGrid: Size = 50

  • Default value yGrid: Size = 100

  • Default value uGrid: Size = 25

  • Default value gasShape: GasShape = []

  • Default value powerShape: PowerShape = []

  • Default value schemeDesc: FdmSchemeDesc = FdmSchemeDesc.Hundsdorfer()

  Returns FdKlugeExtOUSpreadEngine