Class Fj_Helper

Hierarchy

Fj_Helper

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new Fj_Helper(model: Handle<PiecewiseTimeDependentHestonModel>, term: Time, strike: Real, j: Size): Fj_Helper

- Defined in ql/pricingengines/vanilla/analyticptdhestonengine.ts:383
Parameters
- model: Handle<PiecewiseTimeDependentHestonModel>
- term: Time
- strike: Real
- j: Size
Returns Fj_Helper

Properties

Private _j

_j: Size

Private _model

_model: Handle<PiecewiseTimeDependentHestonModel>

Private _q

_q: Rate[]

_qTS

_qTS: YieldTermStructure

Private _r

_r: Rate[]

Private _sx

_sx: Real

Private _term

_term: Time

Private _timeGrid

_timeGrid: TimeGrid

Private _v0

_v0: Real

Private _x

_x: Real

Methods

f

f(phi: Real): Real

- Defined in ql/pricingengines/vanilla/analyticptdhestonengine.ts:418
Parameters
- phi: Real
Returns Real