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Hierarchy

Index

Type aliases

Static bc_type

Constructors

constructor

  • Parameters

    • baseEngine: any

    Returns FDAmericanCondition

Properties

_BCs

_BCs: bc_type[]

_center

_center: Real

_exerciseDate

_exerciseDate: Date

_finiteDifferenceOperator

_finiteDifferenceOperator: TridiagonalOperator

_gridPoints

_gridPoints: Size

_intrinsicValues

_intrinsicValues: SampledCurve

_payoff

_payoff: Payoff

_process

_sMax

_sMax: Real

_sMin

_sMin: Real

_timeDependent

_timeDependent: boolean

_timeSteps

_timeSteps: Size

baseEngine

baseEngine: any

Static _safetyZoneFactor

_safetyZoneFactor: Real = 1.1

Methods

ensureStrikeInGrid

  • ensureStrikeInGrid(): void

getResidualTime

  • getResidualTime(): Time

grid

init

initializeBoundaryConditions

  • initializeBoundaryConditions(): void

initializeInitialCondition

  • initializeInitialCondition(): void

initializeOperator

  • initializeOperator(): void

initializeStepCondition

  • initializeStepCondition(): void
  • Returns void

safeGridPoints

  • safeGridPoints(gridPoints: Size, residualTime: Time): Size

setGridLimits1

  • setGridLimits1(): void

setGridLimits2

  • setGridLimits2(center: Real, t: Time): void

setupArguments