QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmhestonop.hpp>
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 TripleBandLinearOp & | getMap () const |
Protected Attributes | |
const TripleBandLinearOp | dyMap_ |
TripleBandLinearOp | mapT_ |
const ext::shared_ptr< YieldTermStructure > | rTS_ |
Definition at line 67 of file fdmhestonop.hpp.
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.
Definition at line 113 of file fdmhestonop.cpp.
const TripleBandLinearOp & getMap | ( | ) | const |
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protected |
Definition at line 79 of file fdmhestonop.hpp.
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protected |
Definition at line 80 of file fdmhestonop.hpp.
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protected |
Definition at line 82 of file fdmhestonop.hpp.