Class FdmLogBasketInnerValue

Hierarchy

FdmInnerValueCalculator
- FdmLogBasketInnerValue

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FdmLogBasketInnerValue(payoff: BasketPayoff, mesher: FdmMesher): FdmLogBasketInnerValue

- Defined in ql/methods/finitedifferences/utilities/fdminnervaluecalculator.ts:96
Parameters
- payoff: BasketPayoff
- mesher: FdmMesher
Returns FdmLogBasketInnerValue

Properties

Private _mesher

_mesher: FdmMesher

Private _payoff

_payoff: BasketPayoff

Methods

avgInnerValue

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

Overrides FdmInnerValueCalculator.avgInnerValue
- Defined in ql/methods/finitedifferences/utilities/fdminnervaluecalculator.ts:112
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real

innerValue

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

Overrides FdmInnerValueCalculator.innerValue
- Defined in ql/methods/finitedifferences/utilities/fdminnervaluecalculator.ts:103
Parameters
- iter: FdmLinearOpIterator
- t: Time
Returns Real