class xf::fintech::HestonFD

#include "xf_fintech_heston.hpp"

Overview

Heston class.

Heston FD main interface class.

// enums

enum HestonFDReturnVal

Methods

HestonFD

HestonFD overload (1)

HestonFD (
    HestonFDModelParameters& AnyModelParameters,
    HestonFDSolverParameters& AnySolverParameters
    )

Class constructor instantiated with an instance of XLNXHestonModelParameters & XLNXHestonSolverParameters.

Solve

HestonFDReturnVal Solve (
    HestonFDPriceRam& AnyPriceRam,
    std::vector <double>& S,
    std::vector <double>& V
    )

Solve Heston FD, returns the full price grid, vector of the stock price and vector of variance values.

Meta

HestonFDReturnVal Meta (std::chrono::milliseconds& AnyExecutionTime)

Return the time taken to solve Heston FD.