#include <fdmhestonvariancemesher.hpp>
Inheritance diagram for FdmHestonLocalVolatilityVarianceMesher:
Collaboration diagram for FdmHestonLocalVolatilityVarianceMesher:
Public Member Functions | |
| FdmHestonLocalVolatilityVarianceMesher (Size size, const ext::shared_ptr< HestonProcess > &process, const ext::shared_ptr< LocalVolTermStructure > &leverageFct, Time maturity, Size tAvgSteps=10, Real epsilon=0.0001, Real mixingFactor=1.0) | |
| Real | volaEstimate () const |
| Public Member Functions inherited from Fdm1dMesher | |
| Fdm1dMesher (Size size) | |
| virtual | ~Fdm1dMesher ()=default |
| Size | size () const |
| Real | dplus (Size index) const |
| Real | dminus (Size index) const |
| Real | location (Size index) const |
| const std::vector< Real > & | locations () const |
Private Attributes | |
| Real | volaEstimate_ |
Additional Inherited Members | |
| Protected Attributes inherited from Fdm1dMesher | |
| std::vector< Real > | locations_ |
| std::vector< Real > | dplus_ |
| std::vector< Real > | dminus_ |
Detailed Description
Definition at line 51 of file fdmhestonvariancemesher.hpp.
Constructor & Destructor Documentation
◆ FdmHestonLocalVolatilityVarianceMesher()
| FdmHestonLocalVolatilityVarianceMesher | ( | Size | size, |
| const ext::shared_ptr< HestonProcess > & | process, | ||
| const ext::shared_ptr< LocalVolTermStructure > & | leverageFct, | ||
| Time | maturity, | ||
| Size | tAvgSteps = 10, |
||
| Real | epsilon = 0.0001, |
||
| Real | mixingFactor = 1.0 |
||
| ) |
Definition at line 149 of file fdmhestonvariancemesher.cpp.
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Member Function Documentation
◆ volaEstimate()
| Real volaEstimate | ( | ) | const |
Definition at line 60 of file fdmhestonvariancemesher.hpp.
Member Data Documentation
◆ volaEstimate_
|
private |
Definition at line 63 of file fdmhestonvariancemesher.hpp.