Class Fj_Helper

Hierarchy

Fj_Helper

Implements

UnaryFunction<Real, Real>

Index

Properties

Methods

Properties

Private _b

Private _cpxLog

_cpxLog: ComplexLogFormula

Private _dd

_dd: Real

Private _engine

_engine: AnalyticHestonEngine

Private _g_km1

_g_km1: Real

Private _j

_j: Size

Private _kappa

_kappa: Real

Private _rsigma

_rsigma: Real

Private _sigma

_sigma: Real

Private _sigma2

_sigma2: Real

Private _sx

_sx: Real

Private _t0

_t0: Real

Private _term

_term: Time

Private _theta

_theta: Real

Private _v0

_v0: Real

Private _x

_x: Real

Methods

f

f(phi: Real): Real

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:604
Parameters
- phi: Real
Returns Real

init1

init1(args: Arguments, model: HestonModel, engine: AnalyticHestonEngine, cpxLog: ComplexLogFormula, term: Time, ratio: Real, j: Size): Fj_Helper

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:529
Parameters
- args: Arguments
- model: HestonModel
- engine: AnalyticHestonEngine
- cpxLog: ComplexLogFormula
- term: Time
- ratio: Real
- j: Size
Returns Fj_Helper

init2

init2(kappa: Real, theta: Real, sigma: Real, v0: Real, s0: Real, rho: Real, engine: AnalyticHestonEngine, cpxLog: ComplexLogFormula, term: Time, strike: Real, ratio: Real, j: Size): Fj_Helper

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:555
Parameters
- kappa: Real
- theta: Real
- sigma: Real
- v0: Real
- s0: Real
- rho: Real
- engine: AnalyticHestonEngine
- cpxLog: ComplexLogFormula
- term: Time
- strike: Real
- ratio: Real
- j: Size
Returns Fj_Helper

init3

init3(kappa: Real, theta: Real, sigma: Real, v0: Real, s0: Real, rho: Real, cpxLog: ComplexLogFormula, term: Time, strike: Real, ratio: Real, j: Size): Fj_Helper

- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:580
Parameters
- kappa: Real
- theta: Real
- sigma: Real
- v0: Real
- s0: Real
- rho: Real
- cpxLog: ComplexLogFormula
- term: Time
- strike: Real
- ratio: Real
- j: Size
Returns Fj_Helper