QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <fdmhestongreensfct.hpp>
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< FdmMesher > | mesher_ |
const ext::shared_ptr< HestonProcess > | process_ |
const FdmSquareRootFwdOp::TransformationType | trafoType_ |
Definition at line 32 of file fdmhestongreensfct.hpp.
enum Algorithm |
Enumerator | |
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ZeroCorrelation | |
Gaussian | |
SemiAnalytical |
Definition at line 34 of file fdmhestongreensfct.hpp.
FdmHestonGreensFct | ( | ext::shared_ptr< FdmMesher > | mesher, |
ext::shared_ptr< HestonProcess > | process, | ||
FdmSquareRootFwdOp::TransformationType | trafoType_, | ||
Real | l0 = 1.0 |
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) |
Definition at line 35 of file fdmhestongreensfct.cpp.
Definition at line 41 of file fdmhestongreensfct.cpp.
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private |
Definition at line 44 of file fdmhestongreensfct.hpp.
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private |
Definition at line 45 of file fdmhestongreensfct.hpp.
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private |
Definition at line 46 of file fdmhestongreensfct.hpp.
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private |
Definition at line 47 of file fdmhestongreensfct.hpp.