Class Fj_Helper

Hierarchy

Fj_Helper

Implements

UnaryFunction<Real, Complex>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new Fj_Helper(hestonModel: HestonModel, hullWhiteModel: HullWhite, rhoSr: Real, term: Time, strike: Real, j: Size): Fj_Helper

- Defined in ql/pricingengines/vanilla/analytich1hwengine.ts:88
Parameters
- hestonModel: HestonModel
- hullWhiteModel: HullWhite
- rhoSr: Real
- term: Time
- strike: Real
- j: Size
Returns Fj_Helper

Properties

Private _d

_d: Real

Private _eta

_eta: Real

Private _gamma

_gamma: Real

Private _j

_j: Size

Private _kappa

_kappa: Real

Private _lambda

_lambda: Real

Private _rhoSr

_rhoSr: Real

Private _term

_term: Time

Private _theta

_theta: Real

Private _v0

_v0: Real

Methods

Private Lambda

Lambda(t: Time): Real

- Defined in ql/pricingengines/vanilla/analytich1hwengine.ts:153
Parameters
- t: Time
Returns Real

Private LambdaApprox

LambdaApprox(t: Time): Real

- Defined in ql/pricingengines/vanilla/analytich1hwengine.ts:177
Parameters
- t: Time
Returns Real

Private c

c(t: Time): Real

- Defined in ql/pricingengines/vanilla/analytich1hwengine.ts:143
Parameters
- t: Time
Returns Real

f

f(u: Real): Complex

- Defined in ql/pricingengines/vanilla/analytich1hwengine.ts:104
Parameters
- u: Real
Returns Complex

Private lambda

lambda(t: Time): Real

- Defined in ql/pricingengines/vanilla/analytich1hwengine.ts:148
Parameters
- t: Time
Returns Real