Class FdmHestonVariancePart

Hierarchy

FdmHestonVariancePart

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmHestonVariancePart(mesher: FdmMesher, rTS: YieldTermStructure, sigma: Real, kappa: Real, theta: Real): FdmHestonVariancePart

- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:133
Parameters
- mesher: FdmMesher
- rTS: YieldTermStructure
- sigma: Real
- kappa: Real
- theta: Real
Returns FdmHestonVariancePart

Properties

Protected _dyMap

_dyMap: TripleBandLinearOp

Protected _mapT

_mapT: TripleBandLinearOp

Protected _rTS

_rTS: YieldTermStructure

Methods

getMap

getMap(): TripleBandLinearOp

- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:154
Returns TripleBandLinearOp

setTime

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

- Defined in ql/methods/finitedifferences/operators/fdmhestonop.ts:148
Parameters
- t1: Time
- t2: Time
Returns void