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
FdmHestonVariancePart Class Reference

#include <fdmhestonop.hpp>

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Public Member Functions

 FdmHestonVariancePart (const ext::shared_ptr< FdmMesher > &mesher, ext::shared_ptr< YieldTermStructure > rTS, Real mixedSigma, Real kappa, Real theta)
 
void setTime (Time t1, Time t2)
 
const TripleBandLinearOpgetMap () const
 

Protected Attributes

const TripleBandLinearOp dyMap_
 
TripleBandLinearOp mapT_
 
const ext::shared_ptr< YieldTermStructurerTS_
 

Detailed Description

Definition at line 67 of file fdmhestonop.hpp.

Constructor & Destructor Documentation

◆ FdmHestonVariancePart()

FdmHestonVariancePart ( const ext::shared_ptr< FdmMesher > &  mesher,
ext::shared_ptr< YieldTermStructure rTS,
Real  mixedSigma,
Real  kappa,
Real  theta 
)

Definition at line 103 of file fdmhestonop.cpp.

Member Function Documentation

◆ setTime()

void setTime ( Time  t1,
Time  t2 
)

Definition at line 113 of file fdmhestonop.cpp.

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◆ getMap()

const TripleBandLinearOp & getMap ( ) const

Definition at line 118 of file fdmhestonop.cpp.

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Member Data Documentation

◆ dyMap_

const TripleBandLinearOp dyMap_
protected

Definition at line 79 of file fdmhestonop.hpp.

◆ mapT_

TripleBandLinearOp mapT_
protected

Definition at line 80 of file fdmhestonop.hpp.

◆ rTS_

const ext::shared_ptr<YieldTermStructure> rTS_
protected

Definition at line 82 of file fdmhestonop.hpp.