Class FdmOUInnerValue

Hierarchy

FdmInnerValueCalculator
- FdmOUInnerValue

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmOUInnerValue(payoff: Payoff, mesher: FdmMesher, direction: Size): FdmOUInnerValue

- Defined in ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.ts:102
Parameters
- payoff: Payoff
- mesher: FdmMesher
- direction: Size
Returns FdmOUInnerValue

Properties

Private _direction

_direction: Size

Private _mesher

_mesher: FdmMesher

Private _payoff

_payoff: Payoff

Methods

avgInnerValue

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

Overrides FdmInnerValueCalculator.avgInnerValue
- Defined in ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.ts:115
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real

innerValue

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

Overrides FdmInnerValueCalculator.innerValue
- Defined in ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.ts:110
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real