QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Attributes | List of all members
FdmZabrVolatilityPart Class Reference

#include <fdmzabrop.hpp>

+ Collaboration diagram for FdmZabrVolatilityPart:

Public Member Functions

 FdmZabrVolatilityPart (const ext::shared_ptr< FdmMesher > &mesher, Real beta, Real nu, Real rho, Real gamma)
 
void setTime (Time t1, Time t2)
 
const TripleBandLinearOpgetMap () const
 

Protected Attributes

const Array volatilityValues_
 
const Array forwardValues_
 
TripleBandLinearOp mapT_
 
const ext::shared_ptr< FdmMeshermesher_
 

Detailed Description

Definition at line 51 of file fdmzabrop.hpp.

Constructor & Destructor Documentation

◆ FdmZabrVolatilityPart()

FdmZabrVolatilityPart ( const ext::shared_ptr< FdmMesher > &  mesher,
Real  beta,
Real  nu,
Real  rho,
Real  gamma 
)

Definition at line 42 of file fdmzabrop.cpp.

Member Function Documentation

◆ setTime()

void setTime ( Time  t1,
Time  t2 
)

Definition at line 51 of file fdmzabrop.cpp.

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◆ getMap()

const TripleBandLinearOp & getMap ( ) const

Definition at line 53 of file fdmzabrop.cpp.

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Member Data Documentation

◆ volatilityValues_

const Array volatilityValues_
protected

Definition at line 60 of file fdmzabrop.hpp.

◆ forwardValues_

const Array forwardValues_
protected

Definition at line 61 of file fdmzabrop.hpp.

◆ mapT_

TripleBandLinearOp mapT_
protected

Definition at line 62 of file fdmzabrop.hpp.

◆ mesher_

const ext::shared_ptr<FdmMesher> mesher_
protected

Definition at line 64 of file fdmzabrop.hpp.