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Class FdSimpleKlugeExtOUVPPEngine

Finite-Differences engine for simple vpp options

Hierarchy

Implements

Index

Type aliases

Constructors

Properties

Methods

Type aliases

Static Shape

Shape: Shape

Constructors

constructor

Properties

_arguments

_arguments: Arguments

Private _fuelCostAddon

_fuelCostAddon: Real

Private _fuelShape

_fuelShape: Shape

Private _gGrid

_gGrid: Size

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _powerShape

_powerShape: Shape

Private _process

_process: KlugeExtOUProcess

Private _rTS

_rTS: YieldTermStructure

_results

_results: Results

Private _schemeDesc

_schemeDesc: FdmSchemeDesc

Private _tGrid

_tGrid: Size

Private _xGrid

_xGrid: Size

Private _yGrid

_yGrid: Size

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

calculate

  • calculate(): void

getArguments

  • getArguments(): Arguments

getResults

  • getResults(): Results

reset

  • reset(): void

update

  • update(): void