Interface FiniteDifferenceBoundary

All Known Subinterfaces:
FiniteDifferenceEquityModel
All Known Implementing Classes:
AmericanOptionBachelierModelBoundary, AmericanOptionBlackScholesModelBoundary, AmericanOptionCevModelBoundary, AmericanOptionHestonModelBoundary, AmericanOptionSabrModelBoundary, BarrierOptionBachelierModelBoundary, BarrierOptionBlackScholesModelBoundary, BarrierOptionCevModelBoundary, BarrierOptionHestonModelBoundary, BarrierOptionSabrModelBoundary, BasketOptionMultiAssetBlackScholesModelBoundary, BermudanOptionBachelierModelBoundary, BermudanOptionBlackScholesModelBoundary, BermudanOptionCevModelBoundary, BermudanOptionHestonModelBoundary, BermudanOptionSabrModelBoundary, BestOfOptionMultiAssetBlackScholesModelBoundary, DigitalBarrierOptionBachelierModelBoundary, DigitalBarrierOptionBlackScholesModelBoundary, DigitalBarrierOptionCevModelBoundary, DigitalBarrierOptionHestonModelBoundary, DigitalBarrierOptionSabrModelBoundary, DigitalBasketOptionMultiAssetBlackScholesModelBoundary, DigitalOptionBachelierModelBoundary, DigitalOptionBlackScholesModelBoundary, DigitalOptionCevModelBoundary, DigitalOptionHestonModelBoundary, DigitalOptionSabrModelBoundary, DoubleBarrierBinaryOptionBachelierModelBoundary, DoubleBarrierBinaryOptionBlackScholesModelBoundary, DoubleBarrierBinaryOptionCevModelBoundary, DoubleBarrierBinaryOptionHestonModelBoundary, DoubleBarrierBinaryOptionSabrModelBoundary, DoubleBarrierOptionBachelierModelBoundary, DoubleBarrierOptionBlackScholesModelBoundary, DoubleBarrierOptionCevModelBoundary, DoubleBarrierOptionHestonModelBoundary, DoubleBarrierOptionSabrModelBoundary, EuropeanOptionBachelierModelBoundary, EuropeanOptionBatesModelBoundary, EuropeanOptionBlackScholesModelBoundary, EuropeanOptionCevModelBoundary, EuropeanOptionHestonModelBoundary, EuropeanOptionMertonModelBoundary, EuropeanOptionSabrModelBoundary, EuropeanOptionVarianceGammaModelBoundary, FDMBachelierModel, FDMBatesModel, FDMBlackScholesModel, FDMCevModel, FDMHestonModel, FDMMertonModel, FDMMultiAssetBlackScholesModel, FDMSabrModel, FDMVarianceGammaModel, TouchOptionBachelierModelBoundary, TouchOptionBlackScholesModelBoundary, TouchOptionCevModelBoundary, TouchOptionHestonModelBoundary, TouchOptionSabrModelBoundary, WorstOfOptionMultiAssetBlackScholesModelBoundary
public interface FiniteDifferenceBoundary
Interface for boundaries conditions provided to finite difference solvers.
Version:
1.0
Author:
Christian Fries

  • Method Details

    • getBoundaryConditionsAtLowerBoundary

      BoundaryCondition[] getBoundaryConditionsAtLowerBoundary(FiniteDifferenceEquityProduct product, double time, double... stateVariables)
      Returns the boundary conditions at the lower boundary.

      The returned array is indexed by state-variable dimension.

      Parameters:
      product - The product being valued.
      time - The running time.
      stateVariables - The state variables specifying the boundary location.
      Returns:
      The lower-boundary conditions by dimension.

    • getBoundaryConditionsAtUpperBoundary

      BoundaryCondition[] getBoundaryConditionsAtUpperBoundary(FiniteDifferenceEquityProduct product, double time, double... stateVariables)
      Returns the boundary conditions at the upper boundary.

      The returned array is indexed by state-variable dimension.

      Parameters:
      product - The product being valued.
      time - The running time.
      stateVariables - The state variables specifying the boundary location.
      Returns:
      The upper-boundary conditions by dimension.