Class FdmAffineModelSwapInnerValue<ModelType>

Type parameters

ModelType

Hierarchy

FdmInnerValueCalculator
- FdmAffineModelSwapInnerValue

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmAffineModelSwapInnerValue(disModel: ModelType, fwdModel: ModelType, swap: VanillaSwap, exerciseDates: Map<Time, Date>, mesher: FdmMesher, direction: Size): FdmAffineModelSwapInnerValue

- Defined in ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.ts:21
Parameters
- disModel: ModelType
- fwdModel: ModelType
- swap: VanillaSwap
- exerciseDates: Map<Time, Date>
- mesher: FdmMesher
- direction: Size
Returns FdmAffineModelSwapInnerValue

Properties

Private _direction

_direction: Size

Private _disModel

_disModel: ModelType

Private _disTs

_disTs: RelinkableHandle<YieldTermStructure> = new RelinkableHandle()

Private _exerciseDates

_exerciseDates: Map<Time, Date>

Private _fwdModel

_fwdModel: ModelType

Private _fwdTs

_fwdTs: RelinkableHandle<YieldTermStructure> = new RelinkableHandle()

_index

_index: IborIndex

Private _mesher

_mesher: FdmMesher

Private _swap

_swap: VanillaSwap

Methods

avgInnerValue

avgInnerValue(iter: FdmLinearOpIterator, t: Time): Real

Overrides FdmInnerValueCalculator.avgInnerValue
- Defined in ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.ts:95
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real

Private getState

getState(model: ModelType, t: Time, iter: FdmLinearOpIterator): Real[]

- Defined in ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.ts:99
Parameters
- model: ModelType
- t: Time
- iter: FdmLinearOpIterator
Returns Real[]

innerValue

innerValue(iter: FdmLinearOpIterator, t: Time): Real

Overrides FdmInnerValueCalculator.innerValue
- Defined in ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.ts:39
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real