External module "ql/experimental/models/hestonslvfdmmodel"

Index

Classes

Functions

Functions

fdmSchemeFactory

fdmSchemeFactory(desc: FdmSchemeDesc, op: FdmLinearOpComposite): FdmScheme

- Defined in ql/experimental/models/hestonslvfdmmodel.ts:596
Parameters
- desc: FdmSchemeDesc
- op: FdmLinearOpComposite
Returns FdmScheme

integratePDF

integratePDF(p: Real[], mesher: FdmMesherComposite, trafoType: TransformationType, alpha: Real): Real

- Defined in ql/experimental/models/hestonslvfdmmodel.ts:497
Parameters
- p: Real[]
- mesher: FdmMesherComposite
- trafoType: TransformationType
- alpha: Real
Returns Real

rescalePDF

rescalePDF(p: Real[], mesher: FdmMesherComposite, trafoType: TransformationType, alpha: Real): Real[]

- Defined in ql/experimental/models/hestonslvfdmmodel.ts:519
Parameters
- p: Real[]
- mesher: FdmMesherComposite
- trafoType: TransformationType
- alpha: Real
Returns Real[]

reshapePDF

reshapePDF(p: Real[], oldMesher: FdmMesherComposite, newMesher: FdmMesherComposite, interp?: Interpolator2D): Real[]

- Defined in ql/experimental/models/hestonslvfdmmodel.ts:528
Parameters
- p: Real[]
- oldMesher: FdmMesherComposite
- newMesher: FdmMesherComposite
- Default value interp: Interpolator2D = null
Returns Real[]

varianceMesher

varianceMesher(rnd: SquareRootProcessRNDCalculator, t0: Time, t1: Time, vGrid: Size, v0: Real, params: HestonSLVFokkerPlanckFdmParams): Fdm1dMesher

- Defined in ql/experimental/models/hestonslvfdmmodel.ts:434
Parameters
- rnd: SquareRootProcessRNDCalculator
- t0: Time
- t1: Time
- vGrid: Size
- v0: Real
- params: HestonSLVFokkerPlanckFdmParams
Returns Fdm1dMesher