Interface FiniteDifferenceModel

All Superinterfaces:
Model
All Known Subinterfaces:
FiniteDifferenceEquityModel, FiniteDifferenceInterestRateModel
All Known Implementing Classes:
FDMBachelierModel, FDMBatesModel, FDMBlackScholesModel, FDMCevModel, FDMHestonModel, FDMHullWhiteModel, FDMMertonModel, FDMMultiAssetBlackScholesModel, FDMSabrModel, FDMVarianceGammaModel
public interface FiniteDifferenceModel extends Model
Basic interface for any model that provides a finite difference approximation of a partial differential equation (PDE), either for equity or interest rate models.

A FiniteDifferenceModel must provide access to the SpaceTimeDiscretization defining the grid used for the numerical scheme.

Author:
Alessandro Gnoatto

  • Method Details

    • getSpaceTimeDiscretization

      SpaceTimeDiscretization getSpaceTimeDiscretization()
      Returns the space-time discretization used by this finite difference model.

      The discretization defines the grid in both time and space on which the PDE approximation is constructed.

      Returns:
      The SpaceTimeDiscretization used by this model.