Class PdeBSM

Hierarchy

PdeSecondOrderParabolic
- PdeBSM

Implements

pde

Index

Type aliases

Constructors

constructor

Properties

_process

Methods

Type aliases

Static argument_type

argument_type: GeneralizedBlackScholesProcess

Static grid_type

grid_type: LogGrid

Constructors

constructor

new PdeBSM(process: argument_type): PdeBSM

- Defined in ql/methods/finitedifferences/pdebsm.ts:13
Parameters
- process: argument_type
Returns PdeBSM

Properties

Private _process

_process: argument_type

Methods

diffusion

diffusion(t: Time, x: Real): Real

Overrides PdeSecondOrderParabolic.diffusion
- Defined in ql/methods/finitedifferences/pdebsm.ts:20
Parameters
- t: Time
- x: Real
Returns Real

discount

discount(t: Time, x: Real): Real

Overrides PdeSecondOrderParabolic.discount
- Defined in ql/methods/finitedifferences/pdebsm.ts:28
Parameters
- t: Time
- x: Real
Returns Real

drift

drift(t: Time, x: Real): Real

Overrides PdeSecondOrderParabolic.drift
- Defined in ql/methods/finitedifferences/pdebsm.ts:24
Parameters
- t: Time
- x: Real
Returns Real

generateOperator

generateOperator(t: Time, tg: TransformedGrid, L: TridiagonalOperator): void

Inherited from PdeSecondOrderParabolic.generateOperator
- Defined in ql/methods/finitedifferences/pdesecondorderparabolic.ts:23
Parameters
- t: Time
- tg: TransformedGrid
- L: TridiagonalOperator
Returns void