Uses of Class
org.quantlib.FdmSchemeDesc

Uses of FdmSchemeDesc in org.quantlib

Methods in org.quantlib that return FdmSchemeDesc

Modifier and Type	Method	Description
static FdmSchemeDesc	FdmSchemeDesc.CraigSneyd()
static FdmSchemeDesc	FdmSchemeDesc.CrankNicolson()
static FdmSchemeDesc	FdmSchemeDesc.Douglas()
static FdmSchemeDesc	FdmSchemeDesc.ExplicitEuler()
static FdmSchemeDesc	FdmSchemeDesc.Hundsdorfer()
static FdmSchemeDesc	FdmSchemeDesc.ImplicitEuler()
static FdmSchemeDesc	FdmSchemeDesc.MethodOfLines()
static FdmSchemeDesc	FdmSchemeDesc.MethodOfLines(double eps)
static FdmSchemeDesc	FdmSchemeDesc.MethodOfLines(double eps, double relInitStepSize)
static FdmSchemeDesc	FdmSchemeDesc.ModifiedCraigSneyd()
static FdmSchemeDesc	FdmSchemeDesc.ModifiedHundsdorfer()
static FdmSchemeDesc	FdmSchemeDesc.TrBDF2()

Methods in org.quantlib with parameters of type FdmSchemeDesc

Modifier and Type	Method	Description
protected static long	FdmSchemeDesc.getCPtr(FdmSchemeDesc obj)
protected static long	FdmSchemeDesc.swigRelease(FdmSchemeDesc obj)

Constructors in org.quantlib with parameters of type FdmSchemeDesc

Constructor	Description
Fd2dBlackScholesVanillaEngine(GeneralizedBlackScholesProcess p1, GeneralizedBlackScholesProcess p2, double correlation, long xGrid, long yGrid, long tGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
Fd2dBlackScholesVanillaEngine(GeneralizedBlackScholesProcess p1, GeneralizedBlackScholesProcess p2, double correlation, long xGrid, long yGrid, long tGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
Fd2dBlackScholesVanillaEngine(GeneralizedBlackScholesProcess p1, GeneralizedBlackScholesProcess p2, double correlation, long xGrid, long yGrid, long tGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
FdBatesVanillaEngine(BatesModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBatesVanillaEngine(BatesModel model, DividendSchedule dividends, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBlackScholesBarrierEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBlackScholesBarrierEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
FdBlackScholesBarrierEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
FdBlackScholesBarrierEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBlackScholesBarrierEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
FdBlackScholesBarrierEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
FdBlackScholesRebateEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBlackScholesRebateEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
FdBlackScholesRebateEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
FdBlackScholesRebateEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBlackScholesRebateEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
FdBlackScholesRebateEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
FdBlackScholesShoutEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBlackScholesShoutEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite, FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess process, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite, FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite, FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
FdBlackScholesVanillaEngine(GeneralizedBlackScholesProcess arg0, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long dampingSteps, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite, FdBlackScholesVanillaEngine.CashDividendModel cashDividendModel)
FdCEVVanillaEngine(double f0, double alpha, double beta, YieldTermStructureHandle rTS, long tGrid, long xGrid, long dampingSteps, double scalingFactor, double eps, FdmSchemeDesc schemeDesc)
FdG2SwaptionEngine(G2 model, long tGrid, long xGrid, long yGrid, long dampingSteps, double invEps, FdmSchemeDesc schemeDesc)
FdHestonBarrierEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdHestonBarrierEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct)
FdHestonBarrierEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct, double mixingFactor)
FdHestonBarrierEngine(HestonModel model, DividendSchedule dividends, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdHestonBarrierEngine(HestonModel model, DividendSchedule dividends, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct)
FdHestonBarrierEngine(HestonModel model, DividendSchedule dividends, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct, double mixingFactor)
FdHestonDoubleBarrierEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdHestonDoubleBarrierEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct)
FdHestonDoubleBarrierEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct, double mixingFactor)
FdHestonHullWhiteVanillaEngine(HestonModel model, HullWhiteProcess hwProcess, double corrEquityShortRate, long tGrid, long xGrid, long vGrid, long rGrid, long dampingSteps, boolean controlVariate, FdmSchemeDesc schemeDesc)
FdHestonHullWhiteVanillaEngine(HestonModel model, HullWhiteProcess hwProcess, DividendSchedule dividends, double corrEquityShortRate, long tGrid, long xGrid, long vGrid, long rGrid, long dampingSteps, boolean controlVariate, FdmSchemeDesc schemeDesc)
FdHestonRebateEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdHestonRebateEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct)
FdHestonRebateEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct, double mixingFactor)
FdHestonRebateEngine(HestonModel model, DividendSchedule dividends, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdHestonRebateEngine(HestonModel model, DividendSchedule dividends, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct)
FdHestonRebateEngine(HestonModel model, DividendSchedule dividends, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct, double mixingFactor)
FdHestonVanillaEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdHestonVanillaEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct)
FdHestonVanillaEngine(HestonModel model, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct, double mixingFactor)
FdHestonVanillaEngine(HestonModel model, DividendSchedule dividends, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdHestonVanillaEngine(HestonModel model, DividendSchedule dividends, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct)
FdHestonVanillaEngine(HestonModel model, DividendSchedule dividends, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct, double mixingFactor)
FdHestonVanillaEngine(HestonModel model, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdHestonVanillaEngine(HestonModel model, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct)
FdHestonVanillaEngine(HestonModel model, DividendSchedule dividends, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct, double mixingFactor)
FdHestonVanillaEngine(HestonModel model, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc)
FdHestonVanillaEngine(HestonModel model, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct)
FdHestonVanillaEngine(HestonModel model, FdmQuantoHelper quantoHelper, long tGrid, long xGrid, long vGrid, long dampingSteps, FdmSchemeDesc schemeDesc, LocalVolTermStructure leverageFct, double mixingFactor)
FdHullWhiteSwaptionEngine(HullWhite model, long tGrid, long xGrid, long dampingSteps, double invEps, FdmSchemeDesc schemeDesc)
Fdm1DimSolver(FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, FdmLinearOpComposite op)
Fdm2dBlackScholesSolver(GeneralizedBlackScholesProcess p1, GeneralizedBlackScholesProcess p2, double correlation, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc)
Fdm2dBlackScholesSolver(GeneralizedBlackScholesProcess p1, GeneralizedBlackScholesProcess p2, double correlation, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, boolean localVol)
Fdm2dBlackScholesSolver(GeneralizedBlackScholesProcess p1, GeneralizedBlackScholesProcess p2, double correlation, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)
Fdm2DimSolver(FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, FdmLinearOpComposite op)
Fdm3DimSolver(FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, FdmLinearOpComposite op)
Fdm4dimSolver(FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, FdmLinearOpComposite op)
Fdm5dimSolver(FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, FdmLinearOpComposite op)
Fdm6dimSolver(FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, FdmLinearOpComposite op)
FdmBackwardSolver(FdmLinearOpComposite map, FdmBoundaryConditionSet bcSet, FdmStepConditionComposite condition, FdmSchemeDesc schemeDesc)
FdmG2Solver(G2 model, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc)
FdmHestonHullWhiteSolver(HestonProcess hestonProcess, HullWhiteProcess hwProcess, double corrEquityShortRate, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc)
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)
FdmHullWhiteSolver(HullWhite model, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc)
FdOrnsteinUhlenbeckVanillaEngine(OrnsteinUhlenbeckProcess arg0, YieldTermStructure rTS, long tGrid, long xGrid, long dampingSteps, double epsilon, FdmSchemeDesc schemeDesc)
FdOrnsteinUhlenbeckVanillaEngine(OrnsteinUhlenbeckProcess arg0, YieldTermStructure rTS, DividendSchedule dividends, long tGrid, long xGrid, long dampingSteps, double epsilon, FdmSchemeDesc schemeDesc)
FdSabrVanillaEngine(double f0, double alpha, double beta, double nu, double rho, YieldTermStructureHandle rTS, long tGrid, long fGrid, long xGrid, long dampingSteps, double scalingFactor, double eps, FdmSchemeDesc schemeDesc)
FdSimpleBSSwingEngine(GeneralizedBlackScholesProcess process, long tGrid, long xGrid, FdmSchemeDesc schemeDesc)
FdSimpleExtOUJumpSwingEngine(ExtOUWithJumpsProcess process, YieldTermStructure rTS, long tGrid, long xGrid, long yGrid, DoublePairVector shape, FdmSchemeDesc schemeDesc)
HestonSLVFokkerPlanckFdmParams(long xGrid, long vGrid, long tMaxStepsPerYear, long tMinStepsPerYear, double tStepNumberDecay, long nRannacherTimeSteps, long predictionCorretionSteps, double x0Density, double localVolEpsProb, long maxIntegrationIterations, double vLowerEps, double vUpperEps, double vMin, double v0Density, double vLowerBoundDensity, double vUpperBoundDensity, double leverageFctPropEps, FdmHestonGreensFct.Algorithm greensAlgorithm, FdmSquareRootFwdOp.TransformationType trafoType, FdmSchemeDesc schemeDesc)