Class FdmBermudanStepCondition

Hierarchy

StepCondition
- FdmBermudanStepCondition

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmBermudanStepCondition(exerciseDates: Date[], referenceDate: Date, dayCounter: DayCounter, mesher: FdmMesher, calculator: FdmInnerValueCalculator): FdmBermudanStepCondition

- Defined in ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.ts:13
Parameters
- exerciseDates: Date[]
- referenceDate: Date
- dayCounter: DayCounter
- mesher: FdmMesher
- calculator: FdmInnerValueCalculator
Returns FdmBermudanStepCondition

Properties

Private _calculator

_calculator: FdmInnerValueCalculator

Private _exerciseTimes

_exerciseTimes: Time[]

Private _mesher

_mesher: FdmMesher

Methods

applyTo

applyTo(a: Real[], t: Time): void

Overrides StepCondition.applyTo
- Defined in ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.ts:28
Parameters
- a: Real[]
- t: Time
Returns void

exerciseTimes

exerciseTimes(): Time[]

- Defined in ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.ts:50
Returns Time[]