Class FdmHestonFwdOp

Hierarchy

FdmLinearOpComposite
- FdmHestonFwdOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmHestonFwdOp(mesher: FdmMesher, process: HestonProcess, type?: TransformationType, leverageFct?: LocalVolTermStructure): FdmHestonFwdOp

- Defined in ql/experimental/finitedifferences/fdmhestonfwdop.ts:24
Parameters
- mesher: FdmMesher
- process: HestonProcess
- Default value type: TransformationType = FdmSquareRootFwdOp.TransformationType.Plain
- Default value leverageFct: LocalVolTermStructure = new LocalVolTermStructure()
Returns FdmHestonFwdOp

Properties

Private _L

_L: Real[]

Private _boundary

_boundary: ModTripleBandLinearOp

Private _correlation

_correlation: NinePointLinearOp

Private _dxMap

_dxMap: FirstDerivativeOp

Private _dxxMap

_dxxMap: ModTripleBandLinearOp

Private _kappa

_kappa: Real

Private _leverageFct

_leverageFct: LocalVolTermStructure

Private _mapX

_mapX: TripleBandLinearOp

Private _mapY

_mapY: FdmSquareRootFwdOp

Private _mesher

_mesher: FdmMesher

Private _qTS

_qTS: YieldTermStructure

Private _rTS

_rTS: YieldTermStructure

Private _rho

_rho: Real

Private _sigma

_sigma: Real

Private _theta

_theta: Real

Private _type

_type: TransformationType

_v0

_v0: Real

Private _varianceValues

_varianceValues: Real[]

_x

_x: Real[]

Methods

apply

apply(u: Real[]): Real[]

Overrides FdmLinearOp.apply
- Defined in ql/experimental/finitedifferences/fdmhestonfwdop.ts:187
Parameters
- u: Real[]
Returns Real[]

apply_direction

apply_direction(direction: Size, u: Real[]): Real[]

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/experimental/finitedifferences/fdmhestonfwdop.ts:207
Parameters
- direction: Size
- u: Real[]
Returns Real[]

apply_mixed

apply_mixed(u: Real[]): Real[]

Overrides FdmLinearOpComposite.apply_mixed
- Defined in ql/experimental/finitedifferences/fdmhestonfwdop.ts:199
Parameters
- u: Real[]
Returns Real[]

Private getLeverageFctSlice

getLeverageFctSlice(t1: Time, t2: Time): Real[]

- Defined in ql/experimental/finitedifferences/fdmhestonfwdop.ts:235
Parameters
- t1: Time
- t2: Time
Returns Real[]

preconditioner

preconditioner(u: Real[], dt: Real): Real[]

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/experimental/finitedifferences/fdmhestonfwdop.ts:227
Parameters
- u: Real[]
- dt: Real
Returns Real[]

setTime

setTime(t1: Time, t2: Time): void

Overrides FdmLinearOpComposite.setTime
- Defined in ql/experimental/finitedifferences/fdmhestonfwdop.ts:118
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/experimental/finitedifferences/fdmhestonfwdop.ts:114
Returns Size

solve_splitting

solve_splitting(direction: Size, u: Real[], s: Real): Real[]

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/experimental/finitedifferences/fdmhestonfwdop.ts:217
Parameters
- direction: Size
- u: Real[]
- s: Real
Returns Real[]

toMatrix

toMatrix(): SparseMatrix

Inherited from FdmLinearOpComposite.toMatrix
- Defined in ql/methods/finitedifferences/operators/fdmlinearopcomposite.ts:41
Returns SparseMatrix

toMatrixDecomp

toMatrixDecomp(): SparseMatrix[]

Inherited from FdmLinearOpComposite.toMatrixDecomp
- Defined in ql/methods/finitedifferences/operators/fdmlinearopcomposite.ts:37
Returns SparseMatrix[]