Class FdmHestonEquityPart

Hierarchy

FdmHestonEquityPart

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmHestonEquityPart(mesher: FdmMesher, rTS: YieldTermStructure, qTS: YieldTermStructure, quantoHelper: FdmQuantoHelper, leverageFct?: LocalVolTermStructure): FdmHestonEquityPart

- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:23
Parameters
- mesher: FdmMesher
- rTS: YieldTermStructure
- qTS: YieldTermStructure
- quantoHelper: FdmQuantoHelper
- Default value leverageFct: LocalVolTermStructure = new LocalVolTermStructure()
Returns FdmHestonEquityPart

Properties

Protected _L

_L: Real[]

Protected _dxMap

_dxMap: FirstDerivativeOp

Protected _dxxMap

_dxxMap: TripleBandLinearOp

Protected _leverageFct

_leverageFct: LocalVolTermStructure

Protected _mapT

_mapT: TripleBandLinearOp

Protected _mesher

_mesher: FdmMesher

Protected _qTS

_qTS: YieldTermStructure

Protected _quantoHelper

_quantoHelper: FdmQuantoHelper

Protected _rTS

_rTS: YieldTermStructure

Protected _varianceValues

_varianceValues: Real[]

Protected _volatilityValues

_volatilityValues: Real[]

Methods

getL

getL(): Real[]

- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:88
Returns Real[]

Protected getLeverageFctSlice

getLeverageFctSlice(t1: Time, t2: Time): Real[]

- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:92
Parameters
- t1: Time
- t2: Time
Returns Real[]

getMap

getMap(): TripleBandLinearOp

- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:84
Returns TripleBandLinearOp

setTime

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

- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:54
Parameters
- t1: Time
- t2: Time
Returns void