Class interpolated_volatility

Hierarchy

interpolated_volatility

Implements

UnaryFunction<Real, Real>

Index

Constructors

constructor

Properties

variance

Methods

f

Constructors

constructor

new interpolated_volatility(pGrid: Real[], vGrid: Real[]): interpolated_volatility

- Defined in ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.ts:133
Parameters
- pGrid: Real[]
- vGrid: Real[]
Returns interpolated_volatility

Properties

variance

variance: LinearInterpolation

Methods

f

f(x: Real): Real

- Defined in ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.ts:138
Parameters
- x: Real
Returns Real