Class FdmSparkSpreadInnerValue

Hierarchy

FdmInnerValueCalculator
- FdmSparkSpreadInnerValue

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmSparkSpreadInnerValue(basketPayoff: BasketPayoff, fuelPrice: FdmInnerValueCalculator, powerPrice: FdmInnerValueCalculator): FdmSparkSpreadInnerValue

- Defined in ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.ts:178
Parameters
- basketPayoff: BasketPayoff
- fuelPrice: FdmInnerValueCalculator
- powerPrice: FdmInnerValueCalculator
Returns FdmSparkSpreadInnerValue

Properties

Private _basketPayoff

_basketPayoff: BasketPayoff

Private _fuelPrice

_fuelPrice: FdmInnerValueCalculator

Private _powerPrice

_powerPrice: FdmInnerValueCalculator

Methods

avgInnerValue

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

Overrides FdmInnerValueCalculator.avgInnerValue
- Defined in ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.ts:196
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real

innerValue

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

Overrides FdmInnerValueCalculator.innerValue
- Defined in ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.ts:188
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real