External module "ql/experimental/varianceoption/integralhestonvarianceoptionengine"

Index

Classes

Functions

Functions

IvopOneDim

IvopOneDim(eps: Real, chi: Real, theta: Real, rho: Real, v0: Real, eprice: Real, tau: Time, rtax: Real): Real

- Defined in ql/experimental/varianceoption/integralhestonvarianceoptionengine.ts:90
Parameters
- eps: Real
- chi: Real
- theta: Real
- rho: Real
- v0: Real
- eprice: Real
- tau: Time
- rtax: Real
Returns Real

IvopTwoDim

IvopTwoDim(eps: Real, chi: Real, theta: Real, rho: Real, v0: Real, tau: Time, rtax: Real, payoff: UnaryFunction<Real, Real>): Real

- Defined in ql/experimental/varianceoption/integralhestonvarianceoptionengine.ts:234
Parameters
- eps: Real
- chi: Real
- theta: Real
- rho: Real
- v0: Real
- tau: Time
- rtax: Real
- payoff: UnaryFunction<Real, Real>
Returns Real