Class FdmZabrVolatilityPart

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

The ZABR operator's volatility part, ½ν²v^2γ·∂²/∂v² on a mesher whose first direction is the forward and second the volatility v.

[Experimental("NQL0001")]
public sealed class FdmZabrVolatilityPart

Inheritance

object

FdmZabrVolatilityPart

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable: its band is built at construction, and SetTime(double, double) changes nothing, as QuantLib's. Experimental, as in QuantLib.

Constructors

FdmZabrVolatilityPart(FdmMesher, double, double, double, double)

Initializes a new instance of the FdmZabrVolatilityPart class.

public FdmZabrVolatilityPart(FdmMesher mesher, double beta, double nu, double rho, double gamma)

Parameters

mesher FdmMesher

The mesher: the forward, then the volatility.

beta double

β, which this part doesn't read.

nu double

ν.

rho double

ρ, which this part doesn't read.

gamma double

γ.

Exceptions

ArgumentNullException

mesher is null.

ArgumentException

mesher has fewer than two directions, where QuantLib reads past its layout.

Properties

Map

Gets the part's operator.

public TripleBandLinearOp Map { get; }

Property Value

TripleBandLinearOp

Methods

SetTime(double, double)

Sets the time step: nothing changes with time.

public void SetTime(double t1, double t2)

Parameters

t1 double

The step's start.

t2 double

The step's end.