Class BSMOperator

Black-Scholes-Merton differential operator

Hierarchy

TridiagonalOperator
- BSMOperator

Index

Classes

TimeSetter

Properties

Methods

Properties

_diagonal

_diagonal: Real[]

_lowerDiagonal

_lowerDiagonal: Real[]

_n

_n: Size

_temp

_temp: Real[]

_timeSetter

_timeSetter: TimeSetter

_upperDiagonal

_upperDiagonal: Real[]

Methods

SOR

SOR(rhs: Real[], tol: Real): Real[]

Inherited from TridiagonalOperator.SOR
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:128
solve linear system with SOR approach

Parameters
- rhs: Real[]
- tol: Real
Returns Real[]

applyTo

applyTo(v: Real[]): Real[]

Inherited from TridiagonalOperator.applyTo
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:64
apply operator to a given array

Parameters
- v: Real[]
Returns Real[]

bsmInit1

bsmInit1(size: Size, dx: Real, r: Rate, q: Rate, sigma: Volatility): BSMOperator

- Defined in ql/methods/finitedifferences/bsmoperator.ts:19
Parameters
- size: Size
- dx: Real
- r: Rate
- q: Rate
- sigma: Volatility
Returns BSMOperator

bsmInit2

bsmInit2(grid: Real[], process: GeneralizedBlackScholesProcess, residualTime: Time): BSMOperator

- Defined in ql/methods/finitedifferences/bsmoperator.ts:37
deprecated

Parameters
- grid: Real[]
- process: GeneralizedBlackScholesProcess
- residualTime: Time
Returns BSMOperator

bsmInit3

bsmInit3(grid: Real[], r: Rate, q: Rate, sigma: Volatility): BSMOperator

- Defined in ql/methods/finitedifferences/bsmoperator.ts:52
Parameters
- grid: Real[]
- r: Rate
- q: Rate
- sigma: Volatility
Returns BSMOperator

diagonal

diagonal(): Real[]

Inherited from TridiagonalOperator.diagonal
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:199
Returns Real[]

init1

init1(size?: Size): TridiagonalOperator

Inherited from TridiagonalOperator.init1
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:19
Parameters
- Default value size: Size = 0
Returns TridiagonalOperator

init2

init2(low: Real[], mid: Real[], high: Real[]): TridiagonalOperator

Inherited from TridiagonalOperator.init2
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:42
Parameters
- low: Real[]
- mid: Real[]
- high: Real[]
Returns TridiagonalOperator

isTimeDependent

isTimeDependent(): boolean

Inherited from TridiagonalOperator.isTimeDependent
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:191
Returns boolean

lowerDiagonal

lowerDiagonal(): Real[]

Inherited from TridiagonalOperator.lowerDiagonal
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:195
Returns Real[]

setFirstRow

setFirstRow(valB: Real, valC: Real): void

Inherited from TridiagonalOperator.setFirstRow
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:207
Parameters
- valB: Real
- valC: Real
Returns void

setLastRow

setLastRow(valA: Real, valB: Real): void

Inherited from TridiagonalOperator.setLastRow
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:229
Parameters
- valA: Real
- valB: Real
Returns void

setMidRow

setMidRow(i: Size, valA: Real, valB: Real, valC: Real): void

Inherited from TridiagonalOperator.setMidRow
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:212
Parameters
- i: Size
- valA: Real
- valB: Real
- valC: Real
Returns void

setMidRows

setMidRows(valA: Real, valB: Real, valC: Real): void

Inherited from TridiagonalOperator.setMidRows
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:221
Parameters
- valA: Real
- valB: Real
- valC: Real
Returns void

setTime

setTime(t: Time): void

Inherited from TridiagonalOperator.setTime
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:234
Parameters
- t: Time
Returns void

size

size(): Size

Inherited from TridiagonalOperator.size
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:187
Returns Size

solveFor1

solveFor1(rhs: Real[]): Real[]

Inherited from TridiagonalOperator.solveFor1
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:86
solve linear system for a given right-hand side

Parameters
- rhs: Real[]
Returns Real[]

solveFor2

solveFor2(rhs: Real[], result: Real[]): void

Inherited from TridiagonalOperator.solveFor2
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:97
solve linear system for a given right-hand side without result Array allocation. The rhs and result parameters can be the same Array, in which case rhs will be changed

Parameters
- rhs: Real[]
- result: Real[]
Returns void

upperDiagonal

upperDiagonal(): Real[]

Inherited from TridiagonalOperator.upperDiagonal
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:203
Returns Real[]

Static add

add(D1: TridiagonalOperator, D2: TridiagonalOperator): TridiagonalOperator

- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:259
Parameters
- D1: TridiagonalOperator
- D2: TridiagonalOperator
Returns TridiagonalOperator

Static identity

identity(size: Size): TridiagonalOperator

Inherited from TridiagonalOperator.identity
- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:179
identity instance

Parameters
- size: Size
Returns TridiagonalOperator

Static mulScalar

mulScalar(D: TridiagonalOperator, a: Real): TridiagonalOperator

- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:275
Parameters
- D: TridiagonalOperator
- a: Real
Returns TridiagonalOperator

Static sub

sub(D1: TridiagonalOperator, D2: TridiagonalOperator): TridiagonalOperator

- Defined in ql/methods/finitedifferences/tridiagonaloperator.ts:267
Parameters
- D1: TridiagonalOperator
- D2: TridiagonalOperator
Returns TridiagonalOperator