Class ModifiedCraigSneydScheme
Constructors
constructor
Defined in ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.ts:22
Parameters
Properties
Protected _bcSet
Defined in ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.ts:86
Protected _dt
Defined in ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.ts:82
Protected _map
Defined in ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.ts:85
Protected _mu
Defined in ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.ts:84
Protected _theta
Defined in ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.ts:83
Methods
setStep
Defined in ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.ts:78
Parameters
Returns void
step
Defined in ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.ts:33
Parameters
Returns void
Legend
Module Object literal Variable Function Function with type parameter Index signature Type alias Type alias with type parameter
Enumeration Enumeration member Property Method
Interface Interface with type parameter Constructor Property Method Index signature
Class Class with type parameter Constructor Property Method Accessor Index signature
Inherited constructor Inherited property Inherited method Inherited accessor
Protected property Protected method Protected accessor
Private property Private method Private accessor
Static property Static method
modified Craig-Sneyd scheme
References: K. J. in ’t Hout and S. Foulon, ADI finite difference schemes for option pricing in the Heston model with correlation, http://arxiv.org/pdf/0811.3427