Class FdmExtOUJumpModelInnerValue

Hierarchy

FdmInnerValueCalculator
- FdmExtOUJumpModelInnerValue

Index

Type aliases

Shape

Constructors

constructor

Properties

Methods

Type aliases

Static Shape

Shape: Array<[Time, Real]>

Constructors

constructor

new FdmExtOUJumpModelInnerValue(payoff: Payoff, mesher: FdmMesher, shape?: Shape): FdmExtOUJumpModelInnerValue

- Defined in ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.ts:14
Parameters
- payoff: Payoff
- mesher: FdmMesher
- Default value shape: Shape = []
Returns FdmExtOUJumpModelInnerValue

Properties

Private _mesher

_mesher: FdmMesher

Private _payoff

_payoff: Payoff

Private _shape

_shape: Shape

Methods

avgInnerValue

avgInnerValue(iter: FdmLinearOpIterator, t: Time): Real

Inherited from FdmInnerValueCalculator.avgInnerValue
- Defined in ql/methods/finitedifferences/utilities/fdminnervaluecalculator.ts:20
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real

innerValue

innerValue(iter: FdmLinearOpIterator, t: Time): Real

Overrides FdmInnerValueCalculator.innerValue
- Defined in ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.ts:24
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real