Class FdmSpreadPayoffInnerValue

Hierarchy

FdmInnerValueCalculator
- FdmSpreadPayoffInnerValue

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmSpreadPayoffInnerValue(payoff: BasketPayoff, calc1: FdmInnerValueCalculator, calc2: FdmInnerValueCalculator): FdmSpreadPayoffInnerValue

- Defined in ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.ts:10
Parameters
- payoff: BasketPayoff
- calc1: FdmInnerValueCalculator
- calc2: FdmInnerValueCalculator
Returns FdmSpreadPayoffInnerValue

Properties

Private _calc1

_calc1: FdmInnerValueCalculator

Private _calc2

_calc2: FdmInnerValueCalculator

Private _payoff

_payoff: BasketPayoff

Methods

avgInnerValue

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

Overrides FdmInnerValueCalculator.avgInnerValue
- Defined in ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.ts:28
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real

innerValue

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

Overrides FdmInnerValueCalculator.innerValue
- Defined in ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.ts:20
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real