FdmHestonVariancePart Class Reference

#include <fdmhestonop.hpp>

Collaboration diagram for FdmHestonVariancePart:

Public Member Functions
	FdmHestonVariancePart (const ext::shared_ptr< FdmMesher > &mesher, ext::shared_ptr< YieldTermStructure > rTS, Real mixedSigma, Real kappa, Real theta)
void	setTime (Time t1, Time t2)
const TripleBandLinearOp &	getMap () const

Protected Attributes
const TripleBandLinearOp	dyMap_
TripleBandLinearOp	mapT_
const ext::shared_ptr< YieldTermStructure >	rTS_

Detailed Description

Definition at line 67 of file fdmhestonop.hpp.

Constructor & Destructor Documentation

FdmHestonVariancePart()

FdmHestonVariancePart	(	const ext::shared_ptr< FdmMesher > &	mesher,
		ext::shared_ptr< YieldTermStructure >	rTS,
		Real	mixedSigma,
		Real	kappa,
		Real	theta
	)

Definition at line 103 of file fdmhestonop.cpp.

Member Function Documentation

setTime()

void setTime	(	Time	t1,
		Time	t2
	)

Definition at line 113 of file fdmhestonop.cpp.

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getMap()

const TripleBandLinearOp & getMap

(

)

const

Definition at line 118 of file fdmhestonop.cpp.

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Member Data Documentation

dyMap_

const TripleBandLinearOp dyMap_

protected

Definition at line 79 of file fdmhestonop.hpp.

mapT_

TripleBandLinearOp mapT_

protected

Definition at line 80 of file fdmhestonop.hpp.

rTS_

const ext::shared_ptr<YieldTermStructure> rTS_

protected

Definition at line 82 of file fdmhestonop.hpp.