Class FdmBlackScholesMesher

Hierarchy

Fdm1dMesher
- FdmBlackScholesMesher

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmBlackScholesMesher(size: Size, process: GeneralizedBlackScholesProcess, maturity: Time, strike: Real, xMinConstraint?: Real, xMaxConstraint?: Real, eps?: Real, scaleFactor?: Real, cPoint?: [Real, Real], dividendSchedule?: DividendSchedule): FdmBlackScholesMesher

- Defined in ql/methods/finitedifferences/meshers/fdmblackscholesmesher.ts:21
Parameters
- size: Size
- process: GeneralizedBlackScholesProcess
- maturity: Time
- strike: Real
- Default value xMinConstraint: Real = QL_NULL_REAL
- Default value xMaxConstraint: Real = QL_NULL_REAL
- Default value eps: Real = 0.0001
- Default value scaleFactor: Real = 1.5
- Default value cPoint: [Real, Real] = [QL_NULL_REAL, QL_NULL_REAL]
- Default value dividendSchedule: DividendSchedule = []
Returns FdmBlackScholesMesher

Properties

Protected _dminus

_dminus: Real[]

Protected _dplus

_dplus: Real[]

Protected _locations

_locations: Real[]

Methods

dminus

dminus(index: Size): Real

Inherited from Fdm1dMesher.dminus
- Defined in ql/methods/finitedifferences/meshers/fdm1dmesher.ts:22
Parameters
- index: Size
Returns Real

dplus

dplus(index: Size): Real

Inherited from Fdm1dMesher.dplus
- Defined in ql/methods/finitedifferences/meshers/fdm1dmesher.ts:19
Parameters
- index: Size
Returns Real

init

init(size: Size): Fdm1dMesher

Inherited from Fdm1dMesher.init
- Defined in ql/methods/finitedifferences/meshers/fdm1dmesher.ts:9
Parameters
- size: Size
Returns Fdm1dMesher

location

location(index: Size): Real

Inherited from Fdm1dMesher.location
- Defined in ql/methods/finitedifferences/meshers/fdm1dmesher.ts:25
Parameters
- index: Size
Returns Real

locations

locations(): Real[]

Inherited from Fdm1dMesher.locations
- Defined in ql/methods/finitedifferences/meshers/fdm1dmesher.ts:28
Returns Real[]

size

size(): Size

Inherited from Fdm1dMesher.size
- Defined in ql/methods/finitedifferences/meshers/fdm1dmesher.ts:16
Returns Size

Static processHelper

processHelper(s0: Handle<Quote>, rTS: Handle<YieldTermStructure>, qTS: Handle<YieldTermStructure>, vol: Volatility): GeneralizedBlackScholesProcess

- Defined in ql/methods/finitedifferences/meshers/fdmblackscholesmesher.ts:113
Parameters
- s0: Handle<Quote>
- rTS: Handle<YieldTermStructure>
- qTS: Handle<YieldTermStructure>
- vol: Volatility
Returns GeneralizedBlackScholesProcess