Class FdmHestonHullWhiteEquityPart

Hierarchy

FdmHestonHullWhiteEquityPart

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmHestonHullWhiteEquityPart(mesher: FdmMesher, hwModel: HullWhite, qTS: YieldTermStructure): FdmHestonHullWhiteEquityPart

- Defined in ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.ts:25
Parameters
- mesher: FdmMesher
- hwModel: HullWhite
- qTS: YieldTermStructure
Returns FdmHestonHullWhiteEquityPart

Properties

Protected _dxMap

_dxMap: FirstDerivativeOp

Protected _dxxMap

_dxxMap: TripleBandLinearOp

Protected _hwModel

_hwModel: HullWhite

Protected _mapT

_mapT: TripleBandLinearOp

Protected _mesher

_mesher: FdmMesher

Protected _qTS

_qTS: YieldTermStructure

Protected _varianceValues

_varianceValues: Real[]

Protected _volatilityValues

_volatilityValues: Real[]

Protected _x

_x: Real[]

Methods

getMap

getMap(): TripleBandLinearOp

- Defined in ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.ts:66
Returns TripleBandLinearOp

setTime

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

- Defined in ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.ts:52
Parameters
- t1: Time
- t2: Time
Returns void