Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class FdmHestonSolver

java.lang.Object

org.quantlib.FdmHestonSolver

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class FdmHestonSolver
extends Object
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	FdmHestonSolver(long cPtr, boolean cMemoryOwn)
	FdmHestonSolver(HestonProcess process, FdmSolverDesc solverDesc)
	FdmHestonSolver(HestonProcess process, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc)
	FdmHestonSolver(HestonProcess process, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, FdmQuantoHelper quantoHelper)
	FdmHestonSolver(HestonProcess process, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, FdmQuantoHelper quantoHelper, LocalVolTermStructure leverageFct)

Method Summary

Modifier and Type	Method	Description
void	delete()
double	deltaAt(double s, double v)
protected void	finalize()
double	gammaAt(double s, double v)
protected static long	getCPtr(FdmHestonSolver obj)
double	meanVarianceDeltaAt(double s, double v)
double	meanVarianceGammaAt(double s, double v)
protected void	swigSetCMemOwn(boolean own)
double	thetaAt(double s, double v)
double	valueAt(double s, double v)

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

close

Constructor Detail

FdmHestonSolver

protected FdmHestonSolver(long cPtr,
                          boolean cMemoryOwn)

FdmHestonSolver

public FdmHestonSolver(HestonProcess process,
                       FdmSolverDesc solverDesc,
                       FdmSchemeDesc schemeDesc,
                       FdmQuantoHelper quantoHelper,
                       LocalVolTermStructure leverageFct)

FdmHestonSolver

public FdmHestonSolver(HestonProcess process,
                       FdmSolverDesc solverDesc,
                       FdmSchemeDesc schemeDesc,
                       FdmQuantoHelper quantoHelper)

FdmHestonSolver

public FdmHestonSolver(HestonProcess process,
                       FdmSolverDesc solverDesc,
                       FdmSchemeDesc schemeDesc)

FdmHestonSolver

public FdmHestonSolver(HestonProcess process,
                       FdmSolverDesc solverDesc)

Method Detail

getCPtr

protected static long getCPtr(FdmHestonSolver obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

Specified by:

delete in interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

valueAt

public double valueAt(double s,
                      double v)

thetaAt

public double thetaAt(double s,
                      double v)

deltaAt

public double deltaAt(double s,
                      double v)

gammaAt

public double gammaAt(double s,
                      double v)

meanVarianceDeltaAt

public double meanVarianceDeltaAt(double s,
                                  double v)

meanVarianceGammaAt

public double meanVarianceGammaAt(double s,
                                  double v)