FdmCIRMixedPart Class Reference

#include <ql/methods/finitedifferences/operators/fdmcirop.hpp>

Collaboration diagram for FdmCIRMixedPart:

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_

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.