Heston FD¶

Description¶

The class diagram below details the interface to the Heston FD library.

../../../_images/heston_class_diagram.png

XLNXHeston Class¶

This class in the main interface, requires an instance of XLNXHestonModelParameters & XLNXHestonSolverParameters being passed in when being constructed. Contains methods to solve Heston FD and return meta data for the time taken.

HestonFD overload (1)

XLNXHestonModelParameters Class¶

This class deals with configuring the input parameters to the Heston FD Model.

XLNXHestonSolverParameters Class¶

This class deals with setting the grid size (m1 & m2) and number of timesteps (N ) to be used when solving Heston FD.

XLNXHestonPriceRam Class¶

This class deals with allocating and free’ing memory to store the returned price grid from the Kernel.

XLNXHestonExecutionTime Class¶

This class tracks execution time.