class xf::fintech::HestonFDSolverParameters

#include "xf_fintech_heston_solver_parameters.hpp"

Overview

Heston FD Solver Parameters Class.

// enums

enum GridType

Methods

HestonFDSolverParameters

HestonFDSolverParameters (HestonFDModelParameters& ModelParameters)

XLNXHestonSolverParameters class constructor.

Get_Theta

double Get_Theta ()

get the theta

Set_Theta

void Set_Theta (double theta)

set the theta

Get_N

int Get_N ()

get the number of timesteps

Set_N

void Set_N (int N)

set the number of timesteps

Get_dt

double Get_dt ()

get the delta timestep

Set_dt

void Set_dt (int dt)

set the delta timestep

Get_m1

int Get_m1 ()

get the m1 grid size for the S direction

Set_m1

void Set_m1 (int m1)

set the m1 grid size for the S direction

Get_m2

int Get_m2 ()

get the m2 grid size for the V direction

Set_m2

void Set_m2 (int m2)

set the m2 grid size for the V direction