Class FdmBatesOp

Hierarchy

FdmLinearOpComposite
- FdmBatesOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmBatesOp(mesher: FdmMesher, batesProcess: BatesProcess, bcSet: FdmBoundaryConditionSet, integroIntegrationOrder: Size, quantoHelper?: FdmQuantoHelper): FdmBatesOp

- Defined in ql/methods/finitedifferences/operators/fdmbatesop.ts:29
Parameters
- mesher: FdmMesher
- batesProcess: BatesProcess
- bcSet: FdmBoundaryConditionSet
- integroIntegrationOrder: Size
- Default value quantoHelper: FdmQuantoHelper = null
Returns FdmBatesOp

Properties

Private _bcSet

_bcSet: FdmBoundaryConditionSet

Private _delta

_delta: Real

Private _gaussHermiteIntegration

_gaussHermiteIntegration: GaussHermiteIntegration

Private _hestonOp

_hestonOp: FdmHestonOp

Private _lambda

_lambda: Real

Private _m

_m: Real

Private _mesher

_mesher: FdmMesher

Private _nu

_nu: Real

Methods

apply

apply(r: Real[]): Real[]

Overrides FdmLinearOp.apply
- Defined in ql/methods/finitedifferences/operators/fdmbatesop.ts:65
Parameters
- r: Real[]
Returns Real[]

apply_direction

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

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/methods/finitedifferences/operators/fdmbatesop.ts:73
Parameters
- direction: Size
- r: Real[]
Returns Real[]

apply_mixed

apply_mixed(r: Real[]): Real[]

Overrides FdmLinearOpComposite.apply_mixed
- Defined in ql/methods/finitedifferences/operators/fdmbatesop.ts:69
Parameters
- r: Real[]
Returns Real[]

Private integro

integro(r: Real[]): Real[]

- Defined in ql/methods/finitedifferences/operators/fdmbatesop.ts:85
Parameters
- r: Real[]
Returns Real[]

preconditioner

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

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/methods/finitedifferences/operators/fdmbatesop.ts:81
Parameters
- r: Real[]
- s: Real
Returns Real[]

setTime

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

Overrides FdmLinearOpComposite.setTime
- Defined in ql/methods/finitedifferences/operators/fdmbatesop.ts:61
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/methods/finitedifferences/operators/fdmbatesop.ts:57
Returns Size

solve_splitting

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

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/methods/finitedifferences/operators/fdmbatesop.ts:77
Parameters
- direction: Size
- r: 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[]

Inherited from FdmLinearOpComposite.toMatrixDecomp
- Defined in ql/methods/finitedifferences/operators/fdmlinearopcomposite.ts:37
Returns SparseMatrix[]