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"ql/experimental/finitedifferences/fdsimpleextoustorageengine"
FdSimpleExtOUStorageEngine
Class FdSimpleExtOUStorageEngine
Hierarchy
GenericEngine
<
Arguments
,
Results
>
FdSimpleExtOUStorageEngine
Implements
Observable
Observer
PricingEngine
Index
Type aliases
Shape
Constructors
constructor
Properties
_arguments
_is
Disposed
_observables
_observers
_process
_rTS
_results
_scheme
Desc
_shape
_t
Grid
_x
Grid
_y
Grid
deep
Update
dispose
is
Disposed
notify
Observers
register
Observer
register
With
register
With
Observables
unregister
Observer
unregister
With
unregister
With
All
Methods
calculate
get
Arguments
get
Results
reset
update
Type aliases
Static
Shape
Shape
:
Array
<
[
Time
,
Real
]
>
Constructors
constructor
new
FdSimple
ExtOUStorage
Engine
(
process
:
ExtendedOrnsteinUhlenbeckProcess
, rTS
:
YieldTermStructure
, tGrid
?:
Size
, xGrid
?:
Size
, yGrid
?:
Size
, shape
?:
Shape
, schemeDesc
?:
FdmSchemeDesc
)
:
FdSimpleExtOUStorageEngine
Parameters
process:
ExtendedOrnsteinUhlenbeckProcess
rTS:
YieldTermStructure
Default value
tGrid:
Size
= 50
Default value
xGrid:
Size
= 100
Default value
yGrid:
Size
= QL_NULL_INTEGER
Default value
shape:
Shape
= []
Default value
schemeDesc:
FdmSchemeDesc
= FdmSchemeDesc.Douglas()
Returns
FdSimpleExtOUStorageEngine
Properties
_arguments
_arguments
:
Arguments
_is
Disposed
_is
Disposed
:
boolean
= false
_observables
_observables
:
Set
<
Observable
>
= new Set()
_observers
_observers
:
Set
<
Observer
>
= new Set()
Private
_process
_process
:
ExtendedOrnsteinUhlenbeckProcess
Private
_rTS
_rTS
:
YieldTermStructure
_results
_results
:
Results
Private
_scheme
Desc
_scheme
Desc
:
FdmSchemeDesc
Private
_shape
_shape
:
Shape
Private
_t
Grid
_t
Grid
:
Size
Private
_x
Grid
_x
Grid
:
Size
Private
_y
Grid
_y
Grid
:
Size
deep
Update
deep
Update
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
dispose
dispose
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
is
Disposed
is
Disposed
:
boolean
notify
Observers
notify
Observers
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
register
Observer
register
Observer
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
register
With
register
With
:
(
h
:
Observable
)
=>
void
Type declaration
(
h
:
Observable
)
:
void
Parameters
h:
Observable
Returns
void
register
With
Observables
register
With
Observables
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
unregister
Observer
unregister
Observer
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
unregister
With
unregister
With
:
(
h
:
Observable
)
=>
Size
Type declaration
(
h
:
Observable
)
:
Size
Parameters
h:
Observable
Returns
Size
unregister
With
All
unregister
With
All
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
Methods
calculate
calculate
(
)
:
void
Returns
void
get
Arguments
get
Arguments
(
)
:
Arguments
Returns
Arguments
get
Results
get
Results
(
)
:
Results
Returns
Results
reset
reset
(
)
:
void
Returns
void
update
update
(
)
:
void
Returns
void
Globals
"ql/experimental/finitedifferences/fdsimpleextoustorageengine"
Fd
Simple
ExtOUStorage
Engine
Shape
constructor
_arguments
_is
Disposed
_observables
_observers
_process
_rTS
_results
_scheme
Desc
_shape
_t
Grid
_x
Grid
_y
Grid
deep
Update
dispose
is
Disposed
notify
Observers
register
Observer
register
With
register
With
Observables
unregister
Observer
unregister
With
unregister
With
All
calculate
get
Arguments
get
Results
reset
update
Fdm
Storage
Value