Class Fdm2dBlackScholesOp

Hierarchy

FdmLinearOpComposite
- Fdm2dBlackScholesOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new Fdm2dBlackScholesOp(mesher: FdmMesher, p1: GeneralizedBlackScholesProcess, p2: GeneralizedBlackScholesProcess, correlation: Real, maturity: Time, localVol?: boolean, illegalLocalVolOverwrite?: Real): Fdm2dBlackScholesOp

- Defined in ql/methods/finitedifferences/operators/fdm2dblackscholesop.ts:21
Parameters
- mesher: FdmMesher
- p1: GeneralizedBlackScholesProcess
- p2: GeneralizedBlackScholesProcess
- correlation: Real
- maturity: Time
- Default value localVol: boolean = false
- Default value illegalLocalVolOverwrite: Real = -QL_NULL_REAL
Returns Fdm2dBlackScholesOp

Properties

Private _corrMapT

_corrMapT: NinePointLinearOp

Private _corrMapTemplate

_corrMapTemplate: NinePointLinearOp

Private _currentForwardRate

_currentForwardRate: Real

Private _illegalLocalVolOverwrite

_illegalLocalVolOverwrite: Real

Private _localVol1

_localVol1: LocalVolTermStructure

Private _localVol2

_localVol2: LocalVolTermStructure

Private _mesher

_mesher: FdmMesher

Private _opX

_opX: FdmBlackScholesOp

Private _opY

_opY: FdmBlackScholesOp

Private _p1

_p1: GeneralizedBlackScholesProcess

Private _p2

_p2: GeneralizedBlackScholesProcess

Private _x

_x: Real[]

Private _y

_y: Real[]

Methods

apply

apply(x: Real[]): Real[]

Overrides FdmLinearOp.apply
- Defined in ql/methods/finitedifferences/operators/fdm2dblackscholesop.ts:110
Parameters
- x: Real[]
Returns Real[]

apply_direction

apply_direction(direction: Size, x: Real[]): Real[]

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/methods/finitedifferences/operators/fdm2dblackscholesop.ts:122
Parameters
- direction: Size
- x: Real[]
Returns Real[]

apply_mixed

apply_mixed(x: Real[]): Real[]

Overrides FdmLinearOpComposite.apply_mixed
- Defined in ql/methods/finitedifferences/operators/fdm2dblackscholesop.ts:116
Parameters
- x: Real[]
Returns Real[]

preconditioner

preconditioner(r: Real[], dt: Real): Real[]

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/methods/finitedifferences/operators/fdm2dblackscholesop.ts:142
Parameters
- r: Real[]
- dt: Real
Returns Real[]

setTime

setTime(t1: Time, t2: Time): void

Overrides FdmLinearOpComposite.setTime
- Defined in ql/methods/finitedifferences/operators/fdm2dblackscholesop.ts:56
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/methods/finitedifferences/operators/fdm2dblackscholesop.ts:52
Returns Size

solve_splitting

solve_splitting(direction: Size, x: Real[], s: Real): Real[]

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/methods/finitedifferences/operators/fdm2dblackscholesop.ts:132
Parameters
- direction: Size
- x: Real[]
- s: Real
Returns Real[]

toMatrix

toMatrix(): SparseMatrix

Inherited from FdmLinearOpComposite.toMatrix
- Defined in ql/methods/finitedifferences/operators/fdmlinearopcomposite.ts:41
Returns SparseMatrix

toMatrixDecomp

toMatrixDecomp(): SparseMatrix[]

Overrides FdmLinearOpComposite.toMatrixDecomp
- Defined in ql/methods/finitedifferences/operators/fdm2dblackscholesop.ts:146
Returns SparseMatrix[]