Class FdmZabrVolatilityPart

Hierarchy

FdmZabrVolatilityPart

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmZabrVolatilityPart(mesher: FdmMesher, beta: Real, nu: Real, rho: Real, gamma: Real): FdmZabrVolatilityPart

- Defined in ql/experimental/finitedifferences/fdmzabrop.ts:40
Parameters
- mesher: FdmMesher
- beta: Real
- nu: Real
- rho: Real
- gamma: Real
Returns FdmZabrVolatilityPart

Properties

Protected _forwardValues

_forwardValues: Real[]

Protected _mapT

_mapT: TripleBandLinearOp

Protected _mesher

_mesher: FdmMesher

Protected _volatilityValues

_volatilityValues: Real[]

Methods

getMap

getMap(): TripleBandLinearOp

- Defined in ql/experimental/finitedifferences/fdmzabrop.ts:51
Returns TripleBandLinearOp

setTime

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

- Defined in ql/experimental/finitedifferences/fdmzabrop.ts:49
Parameters
- t1: Time
- t2: Time
Returns void