Class HestonSLVFokkerPlanckFdmParams

constructor

• new HestonSLVFokkerPlanckFdmParams(xGrid: Size, vGrid: Size, tMaxStepsPerYear: Size, tMinStepsPerYear: Size, tStepNumberDecay: Real, nRannacherTimeSteps: Size, predictionCorretionSteps: Size, x0Density: Real, localVolEpsProb: Real, maxIntegrationIterations: Size, vLowerEps: Real, vUpperEps: Real, vMin: Real, v0Density: Real, vLowerBoundDensity: Real, vUpperBoundDensity: Real, leverageFctPropEps: Real, greensAlgorithm: Algorithm, trafoType: TransformationType, schemeDesc: FdmSchemeDesc): HestonSLVFokkerPlanckFdmParams

• Parameters

  • xGrid: Size

  • vGrid: Size

  • tMaxStepsPerYear: Size

  • tMinStepsPerYear: Size

  • tStepNumberDecay: Real

  • nRannacherTimeSteps: Size

  • predictionCorretionSteps: Size

  • x0Density: Real

  • localVolEpsProb: Real

  • maxIntegrationIterations: Size

  • vLowerEps: Real

  • vUpperEps: Real

  • vMin: Real

  • v0Density: Real

  • vLowerBoundDensity: Real

  • vUpperBoundDensity: Real

  • leverageFctPropEps: Real

  • greensAlgorithm: Algorithm

  • trafoType: TransformationType

  • schemeDesc: FdmSchemeDesc

  Returns HestonSLVFokkerPlanckFdmParams