public Fj_Helper(Handle <HestonModel> hestonModel, HullWhite hullWhiteModel, double rhoSr, double term,
double strike, int j)
{
j_ = j;
lambda_ = hullWhiteModel.a();
eta_ = hullWhiteModel.sigma();
v0_ = hestonModel.link.v0();
kappa_ = hestonModel.link.kappa();
theta_ = hestonModel.link.theta();
gamma_ = hestonModel.link.sigma();
d_ = 4.0 * kappa_ * theta_ / (gamma_ * gamma_);
rhoSr_ = rhoSr;
term_ = term;
}
public FdmHullWhiteOp(FdmMesher mesher,
HullWhite model,
int direction)
{
x_ = mesher.locations(direction);
dzMap_ = new TripleBandLinearOp(new FirstDerivativeOp(direction, mesher).mult(-1.0 * x_ * model.a()).add(
new SecondDerivativeOp(direction, mesher).mult(0.5 * model.sigma() * model.sigma()
* new Vector(mesher.layout().size(), 1.0))));
mapT_ = new TripleBandLinearOp(direction, mesher);
direction_ = direction;
model_ = model;
}
