Uses of Interface
net.finmath.finitedifference.assetderivativevaluation.models.FiniteDifferenceEquityModel

Packages that use FiniteDifferenceEquityModel

Package	Description
net.finmath.finitedifference.assetderivativevaluation.boundaries	Package net.finmath.finitedifference.assetderivativevaluation.boundaries.
net.finmath.finitedifference.assetderivativevaluation.models	Package net.finmath.finitedifference.assetderivativevaluation.models.
net.finmath.finitedifference.assetderivativevaluation.products	Package net.finmath.finitedifference.assetderivativevaluation.products.
net.finmath.finitedifference.solvers	Package net.finmath.finitedifference.solvers.
net.finmath.finitedifference.solvers.adi	Package net.finmath.finitedifference.solvers.adi.

Uses of FiniteDifferenceEquityModel in net.finmath.finitedifference.assetderivativevaluation.boundaries

Methods in net.finmath.finitedifference.assetderivativevaluation.boundaries with parameters of type FiniteDifferenceEquityModel

Modifier and Type	Method	Description
static TwoStateActiveBoundaryProvider	ActiveBoundaryProviderFactory.createProvider(FiniteDifferenceEquityModel model, double strike, double maturity, CallOrPut callOrPut)	Performs the operation.

Constructors in net.finmath.finitedifference.assetderivativevaluation.boundaries with parameters of type FiniteDifferenceEquityModel

Modifier	Constructor	Description
	BachelierActiveBoundaryProvider(FiniteDifferenceEquityModel model, double strike, double maturity, CallOrPut callOrPut)	Performs the operation.
	BlackScholesActiveBoundaryProvider(FiniteDifferenceEquityModel model, double strike, double maturity, CallOrPut callOrPut)	Performs the operation.
	CevActiveBoundaryProvider(FiniteDifferenceEquityModel model, double strike, double maturity, CallOrPut callOrPut)	Performs the operation.

Uses of FiniteDifferenceEquityModel in net.finmath.finitedifference.assetderivativevaluation.models

Classes in net.finmath.finitedifference.assetderivativevaluation.models that implement FiniteDifferenceEquityModel

Modifier and Type	Class	Description
class	FDMBachelierModel	Finite difference model for option pricing under the Bachelier (normal) model.
class	FDMBatesModel	Finite difference model for option pricing under the Bates stochastic volatility jump-diffusion model.
class	FDMBlackScholesModel	Finite difference model for option pricing under the Black-Scholes framework for European and American options.
class	FDMCevModel	Finite difference model for option pricing under the Constant Elasticity of Variance (CEV) model.
class	FDMHestonModel	Finite difference model for option pricing under the Heston stochastic volatility model.
class	FDMMertonModel	Finite-difference model for option pricing under the Merton jump-diffusion model.
class	FDMMultiAssetBlackScholesModel	Finite-difference model for a multi-asset Black-Scholes market with constant volatilities and constant instantaneous correlation.
class	FDMSabrModel	Finite difference model for option pricing under the SABR stochastic volatility model.
class	FDMVarianceGammaModel	Finite-difference model for option pricing under the Variance Gamma model.

Methods in net.finmath.finitedifference.assetderivativevaluation.models that return FiniteDifferenceEquityModel

Modifier and Type	Method	Description
FiniteDifferenceEquityModel	FDMBachelierModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization)
FiniteDifferenceEquityModel	FDMBatesModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization)
FiniteDifferenceEquityModel	FDMBlackScholesModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization)
FiniteDifferenceEquityModel	FDMCevModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization)
FiniteDifferenceEquityModel	FDMHestonModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization)
FiniteDifferenceEquityModel	FDMMertonModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization)
FiniteDifferenceEquityModel	FDMMultiAssetBlackScholesModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization)
FiniteDifferenceEquityModel	FDMSabrModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization)
FiniteDifferenceEquityModel	FDMVarianceGammaModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization)
FiniteDifferenceEquityModel	FiniteDifferenceEquityModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization)	Returns a clone of this model with a modified space-time discretization.

Uses of FiniteDifferenceEquityModel in net.finmath.finitedifference.assetderivativevaluation.products

Subinterfaces with type arguments of type FiniteDifferenceEquityModel in net.finmath.finitedifference.assetderivativevaluation.products

Modifier and Type	Interface	Description
interface	FiniteDifferenceEquityProduct	Interface for products valued by a finite-difference equity model.

Methods in net.finmath.finitedifference.assetderivativevaluation.products that return FiniteDifferenceEquityModel

Modifier and Type	Method	Description
FiniteDifferenceEquityModel	AsianOption.getLiftedModel(FiniteDifferenceEquityModel model)	Returns the value.

Methods in net.finmath.finitedifference.assetderivativevaluation.products that return types with arguments of type FiniteDifferenceEquityModel

Modifier and Type	Method	Description
default Class<FiniteDifferenceEquityModel>	FiniteDifferenceEquityProduct.getModelClass()

Methods in net.finmath.finitedifference.assetderivativevaluation.products with parameters of type FiniteDifferenceEquityModel

Modifier and Type	Method	Description
double[]	BarrierOption.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceEquityModel model)
double[]	DigitalBarrierOption.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceEquityModel model)
double[]	DoubleBarrierBinaryOption.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceEquityModel model)
double[]	DoubleBarrierOption.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceEquityModel model)
default double[]	FiniteDifferenceEquityEventProduct.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceEquityModel model)	Performs the operation.
double[]	TouchOption.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceEquityModel model)
FiniteDifferenceEquityModel	AsianOption.getLiftedModel(FiniteDifferenceEquityModel model)	Returns the value.
FDMSolver	AsianOption.getSolver(FiniteDifferenceEquityModel model)	Returns the value.
double[]	AmericanOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[]	AsianOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[]	BarrierOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[]	BasketOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[]	BermudanOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[]	BestOfOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[]	DigitalBarrierOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[]	DigitalBasketOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[]	DigitalOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[]	DoubleBarrierBinaryOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)	Returns the values at the specified evaluation time on the model space grid.
double[]	DoubleBarrierOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)	Returns the values at the specified evaluation time on the model space grid.
double[]	EuropeanOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[]	FloatingStrikeSwingOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)	Returns the value at the given evaluation time.
double[]	ShoutOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)	Returns the value at the specified evaluation time.
double[]	SwingOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)	Returns the value at the given evaluation time.
double[]	TouchOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[]	WorstOfOption.getValue(double evaluationTime, FiniteDifferenceEquityModel model)
double[][]	AmericanOption.getValues(FiniteDifferenceEquityModel model)
double[][]	AsianOption.getValues(FiniteDifferenceEquityModel model)
double[][]	BarrierOption.getValues(FiniteDifferenceEquityModel model)
double[][]	BasketOption.getValues(FiniteDifferenceEquityModel model)
double[][]	BermudanOption.getValues(FiniteDifferenceEquityModel model)
double[][]	BestOfOption.getValues(FiniteDifferenceEquityModel model)
double[][]	DigitalBarrierOption.getValues(FiniteDifferenceEquityModel model)
double[][]	DigitalBasketOption.getValues(FiniteDifferenceEquityModel model)
double[][]	DigitalOption.getValues(FiniteDifferenceEquityModel model)
double[][]	DoubleBarrierBinaryOption.getValues(FiniteDifferenceEquityModel model)	Returns the full value surface.
double[][]	DoubleBarrierOption.getValues(FiniteDifferenceEquityModel model)	Returns the full value surface.
double[][]	EuropeanOption.getValues(FiniteDifferenceEquityModel model)
double[][]	FloatingStrikeSwingOption.getValues(FiniteDifferenceEquityModel model)	Returns the full value surface.
double[][]	ShoutOption.getValues(FiniteDifferenceEquityModel model)	Returns the full value surface.
double[][]	SwingOption.getValues(FiniteDifferenceEquityModel model)	Returns the full value surface.
double[][]	TouchOption.getValues(FiniteDifferenceEquityModel model)
double[][]	WorstOfOption.getValues(FiniteDifferenceEquityModel model)

Uses of FiniteDifferenceEquityModel in net.finmath.finitedifference.solvers

Methods in net.finmath.finitedifference.solvers with parameters of type FiniteDifferenceEquityModel

Modifier and Type	Method	Description
static ThetaMethod1DAssembly.ModelCoefficients	ThetaMethod1DAssembly.buildModelCoefficients(FiniteDifferenceEquityModel model, double[] xGrid, double time)	Compatibility method for equity-only solvers with deterministic discounting.
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Performs the operation.
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, BarrierPDEMode barrierMode, BarrierPreHitSpecification preHitSpecification)	Performs the operation.
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, Exercise exercise)	Performs the operation.
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, Exercise exercise, BarrierPDEMode barrierMode, BarrierPreHitSpecification preHitSpecification)	Performs the operation.
static double	ThetaMethod1DAssembly.getShortRate(FiniteDifferenceEquityModel model, double time)	Compatibility method for equity-only solvers with deterministic discounting.

Constructors in net.finmath.finitedifference.solvers with parameters of type FiniteDifferenceEquityModel

Modifier	Constructor	Description
	FDMThetaMethod1D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates a theta-method finite-difference solver for a one-dimensional backward PDE.
	FDMThetaMethod1DJump(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates a one-dimensional theta-method PIDE solver with explicit jump term.
	FDMThetaMethod1DJump(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, int quadraturePointsPerSide)	Creates a one-dimensional theta-method PIDE solver with explicit jump term.
	FDMThetaMethod1DTwoState(FiniteDifferenceEquityModel model, FiniteDifferenceOneDimensionalKnockInProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, TwoStateActiveBoundaryProvider activeBoundaryProvider)	Creates a direct two-state theta-method solver for one-dimensional knock- in products.
	FDMThetaMethod1DTwoState(FiniteDifferenceEquityModel model, FiniteDifferenceOneDimensionalKnockInProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, TwoStateActiveBoundaryProvider activeBoundaryProvider, TwoStateActivationPolicy activationPolicy)	Creates a direct two-state theta-method solver with an explicit activation policy.
	FDMThetaMethod2D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates a two-dimensional theta-method finite-difference solver.

Uses of FiniteDifferenceEquityModel in net.finmath.finitedifference.solvers.adi

Methods in net.finmath.finitedifference.solvers.adi that return FiniteDifferenceEquityModel

Modifier and Type	Method	Description
protected FiniteDifferenceEquityModel	AbstractADI2D.getModel()
protected FiniteDifferenceEquityModel	AbstractADI3D.getModel()

Constructors in net.finmath.finitedifference.solvers.adi with parameters of type FiniteDifferenceEquityModel

Modifier	Constructor	Description
protected	AbstractADI2D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates the ADI solver.
protected	AbstractADI3D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)
	ADI2DStencilBuilder(FiniteDifferenceEquityModel model, double[] x0Grid, double[] x1Grid)	Performs the operation.
	ADI3DStencilBuilder(FiniteDifferenceEquityModel model, double[] x0Grid, double[] x1Grid, double[] x2Grid)	Creates a stencil builder for three-dimensional ADI line solves.
	FDMAsianADI2D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates the lifted two-dimensional ADI solver for arithmetic Asian products.
	FDMAsianHestonADI3D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Performs the operation.
	FDMAsianSabrADI3D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates the lifted three-dimensional ADI solver for arithmetic Asian pricing under SABR.