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Hierarchy

  • FdmHestonHullWhiteEquityPart

Index

Constructors

constructor

Properties

Protected _dxMap

Protected _dxxMap

Protected _hwModel

_hwModel: HullWhite

Protected _mapT

Protected _mesher

_mesher: FdmMesher

Protected _qTS

Protected _varianceValues

_varianceValues: Real[]

Protected _volatilityValues

_volatilityValues: Real[]

Protected _x

_x: Real[]

Methods

getMap

  • Returns TripleBandLinearOp

setTime

  • Parameters

    Returns void