QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Types | Public Member Functions | Private Attributes | List of all members
FdmHestonGreensFct Class Reference

#include <fdmhestongreensfct.hpp>

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Public Types

enum  Algorithm { ZeroCorrelation , Gaussian , SemiAnalytical }
 

Public Member Functions

 FdmHestonGreensFct (ext::shared_ptr< FdmMesher > mesher, ext::shared_ptr< HestonProcess > process, FdmSquareRootFwdOp::TransformationType trafoType_, Real l0=1.0)
 
Array get (Time t, Algorithm algorithm) const
 

Private Attributes

const Real l0_
 
const ext::shared_ptr< FdmMeshermesher_
 
const ext::shared_ptr< HestonProcessprocess_
 
const FdmSquareRootFwdOp::TransformationType trafoType_
 

Detailed Description

Definition at line 32 of file fdmhestongreensfct.hpp.

Member Enumeration Documentation

◆ Algorithm

enum Algorithm
Enumerator
ZeroCorrelation 
Gaussian 
SemiAnalytical 

Definition at line 34 of file fdmhestongreensfct.hpp.

Constructor & Destructor Documentation

◆ FdmHestonGreensFct()

FdmHestonGreensFct ( ext::shared_ptr< FdmMesher mesher,
ext::shared_ptr< HestonProcess process,
FdmSquareRootFwdOp::TransformationType  trafoType_,
Real  l0 = 1.0 
)

Definition at line 35 of file fdmhestongreensfct.cpp.

Member Function Documentation

◆ get()

Array get ( Time  t,
Algorithm  algorithm 
) const

Definition at line 41 of file fdmhestongreensfct.cpp.

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Member Data Documentation

◆ l0_

const Real l0_
private

Definition at line 44 of file fdmhestongreensfct.hpp.

◆ mesher_

const ext::shared_ptr<FdmMesher> mesher_
private

Definition at line 45 of file fdmhestongreensfct.hpp.

◆ process_

const ext::shared_ptr<HestonProcess> process_
private

Definition at line 46 of file fdmhestongreensfct.hpp.

◆ trafoType_

const FdmSquareRootFwdOp::TransformationType trafoType_
private

Definition at line 47 of file fdmhestongreensfct.hpp.