FdmHestonHullWhiteEquityPart Class Reference

#include <fdmhestonhullwhiteop.hpp>

Collaboration diagram for FdmHestonHullWhiteEquityPart:

Public Member Functions
	FdmHestonHullWhiteEquityPart (const ext::shared_ptr< FdmMesher > &mesher, ext::shared_ptr< HullWhite > hwModel, ext::shared_ptr< YieldTermStructure > qTS)
void	setTime (Time t1, Time t2)
const TripleBandLinearOp &	getMap () const

Protected Attributes
const Array	x_
Array	varianceValues_
Array	volatilityValues_
const FirstDerivativeOp	dxMap_
const TripleBandLinearOp	dxxMap_
TripleBandLinearOp	mapT_
const ext::shared_ptr< HullWhite >	hwModel_
const ext::shared_ptr< FdmMesher >	mesher_
const ext::shared_ptr< YieldTermStructure >	qTS_

Detailed Description

Definition at line 41 of file fdmhestonhullwhiteop.hpp.

Constructor & Destructor Documentation

FdmHestonHullWhiteEquityPart()

FdmHestonHullWhiteEquityPart	(	const ext::shared_ptr< FdmMesher > &	mesher,
		ext::shared_ptr< HullWhite >	hwModel,
		ext::shared_ptr< YieldTermStructure >	qTS
	)

Definition at line 32 of file fdmhestonhullwhiteop.cpp.

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Member Function Documentation

setTime()

void setTime	(	Time	t1,
		Time	t2
	)

Definition at line 53 of file fdmhestonhullwhiteop.cpp.

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getMap()

const TripleBandLinearOp & getMap

(

)

const

Definition at line 65 of file fdmhestonhullwhiteop.cpp.

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Member Data Documentation

x_

const Array x_

protected

Definition at line 51 of file fdmhestonhullwhiteop.hpp.

varianceValues_

Array varianceValues_

protected

Definition at line 52 of file fdmhestonhullwhiteop.hpp.

volatilityValues_

Array volatilityValues_

protected

Definition at line 52 of file fdmhestonhullwhiteop.hpp.

dxMap_

const FirstDerivativeOp dxMap_

protected

Definition at line 53 of file fdmhestonhullwhiteop.hpp.

dxxMap_

const TripleBandLinearOp dxxMap_

protected

Definition at line 54 of file fdmhestonhullwhiteop.hpp.

mapT_

TripleBandLinearOp mapT_

protected

Definition at line 55 of file fdmhestonhullwhiteop.hpp.

hwModel_

const ext::shared_ptr<HullWhite> hwModel_

protected

Definition at line 57 of file fdmhestonhullwhiteop.hpp.

mesher_

const ext::shared_ptr<FdmMesher> mesher_

protected

Definition at line 58 of file fdmhestonhullwhiteop.hpp.

qTS_

const ext::shared_ptr<YieldTermStructure> qTS_

protected

Definition at line 59 of file fdmhestonhullwhiteop.hpp.