java.lang.Object
net.finmath.finitedifference.models.FDMBlackScholesModel
- All Implemented Interfaces:
FiniteDifference1DModel
,Model
Black Scholes model using finite difference method.
- Version:
- 1.0
- Author:
- Ralph Rudd, Christian Fries, Jörg Kienitz
-
Constructor Summary
ConstructorDescriptionFDMBlackScholesModel
(int numTimesteps, int numSpacesteps, int numStandardDeviations, double center, double theta, double initialValue, double riskFreeRate, double volatility) -
Method Summary
Modifier and TypeMethodDescriptiondouble
getForwardValue
(double time) double
double
getLocalVolatility
(double assetValue, double time) int
double
int
double
double[][]
getValue
(double evaluationnTime, double time, DoubleUnaryOperator values, FiniteDifference1DBoundary boundary) Return the conditional expectation of the given values at a given time contrained by the given boundary conditions.double
double
varianceOfStockPrice
(double time)
-
Constructor Details
-
FDMBlackScholesModel
public FDMBlackScholesModel(int numTimesteps, int numSpacesteps, int numStandardDeviations, double center, double theta, double initialValue, double riskFreeRate, double volatility)
-
-
Method Details
-
varianceOfStockPrice
public double varianceOfStockPrice(double time) - Specified by:
varianceOfStockPrice
in interfaceFiniteDifference1DModel
-
getForwardValue
public double getForwardValue(double time) - Specified by:
getForwardValue
in interfaceFiniteDifference1DModel
-
getRiskFreeRate
public double getRiskFreeRate()- Specified by:
getRiskFreeRate
in interfaceFiniteDifference1DModel
-
getInitialValue
public double getInitialValue() -
getVolatility
public double getVolatility()- Specified by:
getVolatility
in interfaceFiniteDifference1DModel
-
getLocalVolatility
public double getLocalVolatility(double assetValue, double time) - Specified by:
getLocalVolatility
in interfaceFiniteDifference1DModel
-
getNumTimesteps
public int getNumTimesteps()- Specified by:
getNumTimesteps
in interfaceFiniteDifference1DModel
-
getNumSpacesteps
public int getNumSpacesteps()- Specified by:
getNumSpacesteps
in interfaceFiniteDifference1DModel
-
getNumStandardDeviations
public double getNumStandardDeviations()- Specified by:
getNumStandardDeviations
in interfaceFiniteDifference1DModel
-
getValue
public double[][] getValue(double evaluationnTime, double time, DoubleUnaryOperator values, FiniteDifference1DBoundary boundary) Description copied from interface:FiniteDifference1DModel
Return the conditional expectation of the given values at a given time contrained by the given boundary conditions.- Specified by:
getValue
in interfaceFiniteDifference1DModel
- Parameters:
evaluationnTime
- The time at which the conditional expectation is requested.time
- The time at which we observe values.values
- The values.boundary
- The given boundary conditions- Returns:
- Vector of { states , values }.
-