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
FdmCIRMixedPart Class Reference

#include <fdmcirop.hpp>

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Public Member Functions

 FdmCIRMixedPart (const ext::shared_ptr< FdmMesher > &mesher, const ext::shared_ptr< CoxIngersollRossProcess > &cirProcess, const ext::shared_ptr< GeneralizedBlackScholesProcess > &bsProcess, Real rho, Real strike)
 
void setTime (Time t1, Time t2)
 
const NinePointLinearOpgetMap () const
 

Protected Attributes

const NinePointLinearOp dyMap_
 
NinePointLinearOp mapT_
 
const ext::shared_ptr< FdmMeshermesher_
 
const ext::shared_ptr< BlackVolTermStructuresigma1_
 
const Real strike_
 

Detailed Description

Definition at line 76 of file fdmcirop.hpp.

Constructor & Destructor Documentation

◆ FdmCIRMixedPart()

FdmCIRMixedPart ( const ext::shared_ptr< FdmMesher > &  mesher,
const ext::shared_ptr< CoxIngersollRossProcess > &  cirProcess,
const ext::shared_ptr< GeneralizedBlackScholesProcess > &  bsProcess,
Real  rho,
Real  strike 
)

Definition at line 74 of file fdmcirop.cpp.

Member Function Documentation

◆ setTime()

void setTime ( Time  t1,
Time  t2 
)

Definition at line 88 of file fdmcirop.cpp.

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◆ getMap()

const NinePointLinearOp & getMap ( ) const

Definition at line 94 of file fdmcirop.cpp.

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Member Data Documentation

◆ dyMap_

const NinePointLinearOp dyMap_
protected

Definition at line 88 of file fdmcirop.hpp.

◆ mapT_

NinePointLinearOp mapT_
protected

Definition at line 89 of file fdmcirop.hpp.

◆ mesher_

const ext::shared_ptr<FdmMesher> mesher_
protected

Definition at line 90 of file fdmcirop.hpp.

◆ sigma1_

const ext::shared_ptr<BlackVolTermStructure> sigma1_
protected

Definition at line 91 of file fdmcirop.hpp.

◆ strike_

const Real strike_
protected

Definition at line 92 of file fdmcirop.hpp.