Class FdmHestonVarianceMesher

Hierarchy

Fdm1dMesher
- FdmHestonVarianceMesher

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmHestonVarianceMesher(size: Size, process: HestonProcess, maturity: Time, tAvgSteps?: Size, epsilon?: Real): FdmHestonVarianceMesher

- Defined in ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.ts:17
Parameters
- size: Size
- process: HestonProcess
- maturity: Time
- Default value tAvgSteps: Size = 10
- Default value epsilon: Real = 0.0001
Returns FdmHestonVarianceMesher

Properties

Protected _dminus

_dminus: Real[]

Protected _dplus

_dplus: Real[]

Protected _locations

_locations: Real[]

Private _volaEstimate

_volaEstimate: 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

volaEstimate

volaEstimate(): Real

- Defined in ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.ts:125
Returns Real