Interface FiniteDifferenceInterestRateBoundary

All Known Implementing Classes:
BondHullWhiteModelBoundary, OptionOnBondHullWhiteModelBoundary, ResolvedSwaptionHullWhiteModelBoundary, SwaptionHullWhiteModelBoundary
public interface FiniteDifferenceInterestRateBoundary
Interface for boundary conditions provided to finite-difference interest-rate solvers.

The returned array is indexed by state-variable dimension.

Author:
Alessandro Gnoatto

  • Method Details

    • getBoundaryConditionsAtLowerBoundary

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