Module net.finmath.lib
Package net.finmath.finitedifference.models

Interface FiniteDifference1DBoundary

All Known Implementing Classes:
FDMEuropeanCallOption, FDMEuropeanPutOption
public interface FiniteDifference1DBoundary
Interface for boundaries conditions provided to one dimensional finite difference solvers.
Version:
1.0
Author:
Christian Fries

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    getValueAtLowerBoundary(FiniteDifference1DModel model, double time, double assetValue)
    Return the value of the value process at the lower boundary for a given time and asset value.
    double
    getValueAtUpperBoundary(FiniteDifference1DModel model, double time, double assetValue)
    Return the value of the value process at the upper boundary for a given time and asset value.

  • Method Details

    • getValueAtLowerBoundary

      double getValueAtLowerBoundary(FiniteDifference1DModel model, double time, double assetValue)
      Return the value of the value process at the lower boundary for a given time and asset value.
      Parameters:
      model - The model which uses the boundary condition (provides model parameters)
      time - The time at which the boundary is observed.
      assetValue - The value of the asset specifying the location of the boundary.
      Returns:
      the value process at the lower boundary

    • getValueAtUpperBoundary

      double getValueAtUpperBoundary(FiniteDifference1DModel model, double time, double assetValue)
      Return the value of the value process at the upper boundary for a given time and asset value.
      Parameters:
      model - TODO
      time - The time at which the boundary is observed.
      assetValue - The value of the asset specifying the location of the boundary.
      Returns:
      the value process at the upper boundary