Type aliases
Static bc_type
Properties
_BCs
_center
_exerciseDate
_exerciseDate: Date
_finiteDifferenceOperator
_gridPoints
_intrinsicValues
_payoff
_process
_sMax
_sMin
_timeDependent
_timeDependent: boolean
_timeSteps
Static _safetyZoneFactor
_safety
ZoneFactor: Real = 1.1Methods
ensureStrikeInGrid
- ensureStrikeInGrid(): void
-
Returns void
getResidualTime
-
grid
-
Returns Real[]
init
-
Parameters
-
-
timeSteps: Size
-
gridPoints: Size
-
Default value timeDependent: boolean = false
initializeBoundaryConditions
- initializeBoundaryConditions(): void
-
Returns void
initializeInitialCondition
- initializeInitialCondition(): void
-
Returns void
initializeOperator
- initializeOperator(): void
-
Returns void
safeGridPoints
-
Parameters
setGridLimits1
-
Returns void
setGridLimits2
- setGridLimits2(center: Real, t: Time): void
-
Parameters
Returns void
setupArguments
-
Parameters
Returns void
Finite-differences pricing engine for BSM one asset options
The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to handle grid layout.