FdmHestonGreensFct Class Reference

#include <ql/methods/finitedifferences/utilities/fdmhestongreensfct.hpp>

Collaboration diagram for FdmHestonGreensFct:

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_

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.