QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmzabrop.hpp>
Public Member Functions | |
FdmZabrUnderlyingPart (const ext::shared_ptr< FdmMesher > &mesher, Real beta, Real nu, Real rho, Real gamma) | |
void | setTime (Time t1, Time t2) |
const TripleBandLinearOp & | getMap () const |
Protected Attributes | |
const Array | volatilityValues_ |
const Array | forwardValues_ |
TripleBandLinearOp | mapT_ |
const ext::shared_ptr< FdmMesher > | mesher_ |
Definition at line 35 of file fdmzabrop.hpp.
FdmZabrUnderlyingPart | ( | const ext::shared_ptr< FdmMesher > & | mesher, |
Real | beta, | ||
Real | nu, | ||
Real | rho, | ||
Real | gamma | ||
) |
Definition at line 26 of file fdmzabrop.cpp.
const TripleBandLinearOp & getMap | ( | ) | const |
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protected |
Definition at line 44 of file fdmzabrop.hpp.
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protected |
Definition at line 45 of file fdmzabrop.hpp.
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protected |
Definition at line 46 of file fdmzabrop.hpp.
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Definition at line 48 of file fdmzabrop.hpp.