FdmHestonEquityPart Class Reference

#include <fdmhestonop.hpp>

Collaboration diagram for FdmHestonEquityPart:

Public Member Functions
	FdmHestonEquityPart (const ext::shared_ptr< FdmMesher > &mesher, ext::shared_ptr< YieldTermStructure > rTS, ext::shared_ptr< YieldTermStructure > qTS, ext::shared_ptr< FdmQuantoHelper > quantoHelper, ext::shared_ptr< LocalVolTermStructure > leverageFct=ext::shared_ptr< LocalVolTermStructure >())
void	setTime (Time t1, Time t2)
const TripleBandLinearOp &	getMap () const
const Array &	getL () const

Protected Member Functions
Array	getLeverageFctSlice (Time t1, Time t2) const

Protected Attributes
Array	varianceValues_
Array	volatilityValues_
Array	L_
const FirstDerivativeOp	dxMap_
const TripleBandLinearOp	dxxMap_
TripleBandLinearOp	mapT_
const ext::shared_ptr< FdmMesher >	mesher_
const ext::shared_ptr< YieldTermStructure >	rTS_
const ext::shared_ptr< YieldTermStructure >	qTS_
const ext::shared_ptr< FdmQuantoHelper >	quantoHelper_
const ext::shared_ptr< LocalVolTermStructure >	leverageFct_

Detailed Description

Definition at line 40 of file fdmhestonop.hpp.

Constructor & Destructor Documentation

FdmHestonEquityPart()

FdmHestonEquityPart	(	const ext::shared_ptr< FdmMesher > &	mesher,
		ext::shared_ptr< YieldTermStructure >	rTS,
		ext::shared_ptr< YieldTermStructure >	qTS,
		ext::shared_ptr< FdmQuantoHelper >	quantoHelper,
		ext::shared_ptr< LocalVolTermStructure >	leverageFct = ext::shared_ptr<LocalVolTermStructure>()
	)

Definition at line 32 of file fdmhestonop.cpp.

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Member Function Documentation

setTime()

void setTime	(	Time	t1,
		Time	t2
	)

Definition at line 54 of file fdmhestonop.cpp.

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getMap()

const TripleBandLinearOp & getMap

(

)

const

Definition at line 99 of file fdmhestonop.cpp.

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getL()

const Array & getL

(

)

const

Definition at line 51 of file fdmhestonop.hpp.

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getLeverageFctSlice()

Array getLeverageFctSlice ( Time  t1, Time  t2  ) const

protected

Definition at line 72 of file fdmhestonop.cpp.

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Member Data Documentation

varianceValues_

Array varianceValues_

protected

Definition at line 56 of file fdmhestonop.hpp.

volatilityValues_

Array volatilityValues_

protected

Definition at line 56 of file fdmhestonop.hpp.

L_

Array L_

protected

Definition at line 56 of file fdmhestonop.hpp.

dxMap_

const FirstDerivativeOp dxMap_

protected

Definition at line 57 of file fdmhestonop.hpp.

dxxMap_

const TripleBandLinearOp dxxMap_

protected

Definition at line 58 of file fdmhestonop.hpp.

mapT_

TripleBandLinearOp mapT_

protected

Definition at line 59 of file fdmhestonop.hpp.

mesher_

const ext::shared_ptr<FdmMesher> mesher_

protected

Definition at line 61 of file fdmhestonop.hpp.

rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

protected

Definition at line 62 of file fdmhestonop.hpp.

qTS_

const ext::shared_ptr<YieldTermStructure> qTS_

protected

Definition at line 62 of file fdmhestonop.hpp.

quantoHelper_

const ext::shared_ptr<FdmQuantoHelper> quantoHelper_

protected

Definition at line 63 of file fdmhestonop.hpp.

leverageFct_

const ext::shared_ptr<LocalVolTermStructure> leverageFct_

protected

Definition at line 64 of file fdmhestonop.hpp.