QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmcirop.hpp>
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 NinePointLinearOp & | getMap () const |
Protected Attributes | |
const NinePointLinearOp | dyMap_ |
NinePointLinearOp | mapT_ |
const ext::shared_ptr< FdmMesher > | mesher_ |
const ext::shared_ptr< BlackVolTermStructure > | sigma1_ |
const Real | strike_ |
Definition at line 76 of file fdmcirop.hpp.
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.
Definition at line 88 of file fdmcirop.cpp.
const NinePointLinearOp & getMap | ( | ) | const |
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Definition at line 88 of file fdmcirop.hpp.
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Definition at line 89 of file fdmcirop.hpp.
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Definition at line 90 of file fdmcirop.hpp.
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Definition at line 91 of file fdmcirop.hpp.
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Definition at line 92 of file fdmcirop.hpp.