Class FdmHestonHullWhiteOp

Hierarchy

FdmLinearOpComposite
- FdmHestonHullWhiteOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmHestonHullWhiteOp(mesher: FdmMesher, hestonProcess: HestonProcess, hwProcess: HullWhiteProcess, equityShortRateCorrelation: Real): FdmHestonHullWhiteOp

- Defined in ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.ts:82
Parameters
- mesher: FdmMesher
- hestonProcess: HestonProcess
- hwProcess: HullWhiteProcess
- equityShortRateCorrelation: Real
Returns FdmHestonHullWhiteOp

Properties

Private _dxMap

_dxMap: FdmHestonHullWhiteEquityPart

Private _dyMap

_dyMap: TripleBandLinearOp

Private _equityIrCorrMap

_equityIrCorrMap: NinePointLinearOp

Private _hestonCorrMap

_hestonCorrMap: NinePointLinearOp

Private _hullWhiteOp

_hullWhiteOp: FdmHullWhiteOp

Private _hwModel

_hwModel: HullWhite

Private _kappa

_kappa: Real

Private _rho

_rho: Real

Private _sigma

_sigma: Real

Private _theta

_theta: Real

_v0

_v0: Real

Methods

apply

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

Overrides FdmLinearOp.apply
- Defined in ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.ts:131
Parameters
- u: Real[]
Returns Real[]

apply_direction

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

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.ts:140
Parameters
- direction: Size
- r: Real[]
Returns Real[]

apply_mixed

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

Overrides FdmLinearOpComposite.apply_mixed
- Defined in ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.ts:152
Parameters
- r: Real[]
Returns Real[]

preconditioner

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

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.ts:169
Parameters
- r: Real[]
- dt: Real
Returns Real[]

setTime

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

Overrides FdmLinearOpComposite.setTime
- Defined in ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.ts:126
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.ts:122
Returns Size

solve_splitting

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

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.ts:157
Parameters
- direction: Size
- r: Real[]
- a: 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[]