Class FdmHestonOp

Hierarchy

FdmLinearOpComposite
- FdmHestonOp

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmHestonOp(mesher: FdmMesher, hestonProcess: HestonProcess, quantoHelper?: FdmQuantoHelper, leverageFct?: LocalVolTermStructure): FdmHestonOp

- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:163
Parameters
- mesher: FdmMesher
- hestonProcess: HestonProcess
- Default value quantoHelper: FdmQuantoHelper = null
- Default value leverageFct: LocalVolTermStructure = new LocalVolTermStructure()
Returns FdmHestonOp

Properties

Private _correlationMap

_correlationMap: NinePointLinearOp

Private _dxMap

_dxMap: FdmHestonEquityPart

Private _dyMap

_dyMap: FdmHestonVariancePart

Methods

apply

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

Overrides FdmLinearOp.apply
- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:191
Parameters
- u: Real[]
Returns Real[]

apply_direction

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

Overrides FdmLinearOpComposite.apply_direction
- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:198
Parameters
- direction: Size
- r: Real[]
Returns Real[]

apply_mixed

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

Inherited from FdmLinearOpComposite.apply_mixed
- Defined in ql/methods/finitedifferences/operators/fdmlinearopcomposite.ts:21
Parameters
- r: Real[]
Returns Real[]

preconditioner

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

Overrides FdmLinearOpComposite.preconditioner
- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:218
Parameters
- r: Real[]
- dt: Real
Returns Real[]

setTime

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

Overrides FdmLinearOpComposite.setTime
- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:186
Parameters
- t1: Time
- t2: Time
Returns void

size

size(): Size

Overrides FdmLinearOpComposite.size
- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:182
Returns Size

solve_splitting

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

Overrides FdmLinearOpComposite.solve_splitting
- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:208
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[]