Class FdmHestonGreensFct

Hierarchy

FdmHestonGreensFct

Index

Enumerations

Algorithm

Constructors

constructor

Properties

Methods

get

Constructors

constructor

new FdmHestonGreensFct(mesher: FdmMesher, process: HestonProcess, trafoType: TransformationType, l0?: Real): FdmHestonGreensFct

- Defined in ql/experimental/finitedifferences/fdmhestongreensfct.ts:16
Parameters
- mesher: FdmMesher
- process: HestonProcess
- trafoType: TransformationType
- Default value l0: Real = 1
Returns FdmHestonGreensFct

Properties

Private _l0

_l0: Real

Private _mesher

_mesher: FdmMesher

Private _process

_process: HestonProcess

Private _trafoType

_trafoType: TransformationType

Methods

get

get(t: Time, algorithm: Algorithm): Real[]

- Defined in ql/experimental/finitedifferences/fdmhestongreensfct.ts:26
Parameters
- t: Time
- algorithm: Algorithm
Returns Real[]