Class FdmBlackScholesOp

Hierarchy

FdmLinearOpComposite
- FdmBlackScholesOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmBlackScholesOp(mesher: FdmMesher, bsProcess: GeneralizedBlackScholesProcess, strike: Real, localVol?: boolean, illegalLocalVolOverwrite?: Real, direction?: Size): FdmBlackScholesOp

- Defined in ql/methods/finitedifferences/operators/fdmblackscholesop.ts:22
Parameters
- mesher: FdmMesher
- bsProcess: GeneralizedBlackScholesProcess
- strike: Real
- Default value localVol: boolean = false
- Default value illegalLocalVolOverwrite: Real = -QL_NULL_REAL
- Default value direction: Size = 0
Returns FdmBlackScholesOp

Properties

Private _direction

_direction: Size

Private _dxMap

_dxMap: FirstDerivativeOp

Private _dxxMap

_dxxMap: TripleBandLinearOp

Private _illegalLocalVolOverwrite

_illegalLocalVolOverwrite: Real

Private _localVol

_localVol: LocalVolTermStructure

Private _mapT

_mapT: TripleBandLinearOp

Private _mesher

_mesher: FdmMesher

Private _qTS

_qTS: YieldTermStructure

Private _rTS

_rTS: YieldTermStructure

Private _strike

_strike: Real

Private _volTS

_volTS: BlackVolTermStructure

Private _x

_x: Real[]

Methods

apply

apply(u: Real[]): Real[]

Overrides FdmLinearOp.apply
- Defined in ql/methods/finitedifferences/operators/fdmblackscholesop.ts:89
Parameters
- u: Real[]
Returns Real[]

apply_direction

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

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/methods/finitedifferences/operators/fdmblackscholesop.ts:98
Parameters
- direction: Size
- r: Real[]
Returns Real[]

apply_mixed

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

Overrides FdmLinearOpComposite.apply_mixed
- Defined in ql/methods/finitedifferences/operators/fdmblackscholesop.ts:93
Parameters
- r: Real[]
Returns Real[]

preconditioner

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

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/methods/finitedifferences/operators/fdmblackscholesop.ts:116
Parameters
- r: Real[]
- dt: Real
Returns Real[]

setTime

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

Overrides FdmLinearOpComposite.setTime
- Defined in ql/methods/finitedifferences/operators/fdmblackscholesop.ts:47
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/methods/finitedifferences/operators/fdmblackscholesop.ts:43
Returns Size

solve_splitting

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

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/methods/finitedifferences/operators/fdmblackscholesop.ts:107
Parameters
- direction: Size
- r: Real[]
- dt: 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[]