#include <ql/models/equity/hestonslvfdmmodel.hpp>
Collaboration diagram for HestonSLVFokkerPlanckFdmParams:
Public Attributes | |
| const Size | xGrid |
| const Size | vGrid |
| const Size | tMaxStepsPerYear |
| const Size | tMinStepsPerYear |
| const Real | tStepNumberDecay |
| const Size | nRannacherTimeSteps |
| const Size | predictionCorretionSteps |
| const Real | x0Density |
| const Real | localVolEpsProb |
| const Size | maxIntegrationIterations |
| const Real | vLowerEps |
| const Real | vUpperEps |
| const Real | vMin |
| const Real | v0Density |
| const Real | vLowerBoundDensity |
| const Real | vUpperBoundDensity |
| const Real | leverageFctPropEps |
| const FdmHestonGreensFct::Algorithm | greensAlgorithm |
| const FdmSquareRootFwdOp::TransformationType | trafoType |
| const FdmSchemeDesc | schemeDesc |
Detailed Description
Definition at line 43 of file hestonslvfdmmodel.hpp.
Member Data Documentation
◆ xGrid
| const Size xGrid |
Definition at line 44 of file hestonslvfdmmodel.hpp.
◆ vGrid
| const Size vGrid |
Definition at line 44 of file hestonslvfdmmodel.hpp.
◆ tMaxStepsPerYear
| const Size tMaxStepsPerYear |
Definition at line 45 of file hestonslvfdmmodel.hpp.
◆ tMinStepsPerYear
| const Size tMinStepsPerYear |
Definition at line 45 of file hestonslvfdmmodel.hpp.
◆ tStepNumberDecay
| const Real tStepNumberDecay |
Definition at line 46 of file hestonslvfdmmodel.hpp.
◆ nRannacherTimeSteps
| const Size nRannacherTimeSteps |
Definition at line 49 of file hestonslvfdmmodel.hpp.
◆ predictionCorretionSteps
| const Size predictionCorretionSteps |
Definition at line 51 of file hestonslvfdmmodel.hpp.
◆ x0Density
| const Real x0Density |
Definition at line 54 of file hestonslvfdmmodel.hpp.
◆ localVolEpsProb
| const Real localVolEpsProb |
Definition at line 55 of file hestonslvfdmmodel.hpp.
◆ maxIntegrationIterations
| const Size maxIntegrationIterations |
Definition at line 56 of file hestonslvfdmmodel.hpp.
◆ vLowerEps
| const Real vLowerEps |
Definition at line 59 of file hestonslvfdmmodel.hpp.
◆ vUpperEps
| const Real vUpperEps |
Definition at line 59 of file hestonslvfdmmodel.hpp.
◆ vMin
| const Real vMin |
Definition at line 59 of file hestonslvfdmmodel.hpp.
◆ v0Density
| const Real v0Density |
Definition at line 60 of file hestonslvfdmmodel.hpp.
◆ vLowerBoundDensity
| const Real vLowerBoundDensity |
Definition at line 60 of file hestonslvfdmmodel.hpp.
◆ vUpperBoundDensity
| const Real vUpperBoundDensity |
Definition at line 60 of file hestonslvfdmmodel.hpp.
◆ leverageFctPropEps
| const Real leverageFctPropEps |
Definition at line 63 of file hestonslvfdmmodel.hpp.
◆ greensAlgorithm
| const FdmHestonGreensFct::Algorithm greensAlgorithm |
Definition at line 66 of file hestonslvfdmmodel.hpp.
◆ trafoType
| const FdmSquareRootFwdOp::TransformationType trafoType |
Definition at line 67 of file hestonslvfdmmodel.hpp.
◆ schemeDesc
| const FdmSchemeDesc schemeDesc |
Definition at line 70 of file hestonslvfdmmodel.hpp.