Module net.finmath.lib

Package net.finmath.finitedifference.models

Interface FiniteDifference1DModel

All Superinterfaces:

Model

All Known Implementing Classes:

FDMBlackScholesModel, FDMConstantElasticityOfVarianceModel

public interface FiniteDifference1DModel
extends Model

Interface one dimensional finite difference models.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
double	getForwardValue(double time)
double	getLocalVolatility(double assetValue, double time)
int	getNumSpacesteps()
double	getNumStandardDeviations()
int	getNumTimesteps()
double	getRiskFreeRate()
double[][]	getValue(double evaluationTime, 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	getVolatility()
double	varianceOfStockPrice(double time)

Method Details

getValue

double[][] getValue(double evaluationTime,
 double time,
 DoubleUnaryOperator values,
 FiniteDifference1DBoundary boundary)

Return the conditional expectation of the given values at a given time contrained by the given boundary conditions.

Parameters:

evaluationTime - 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 }.

varianceOfStockPrice

double varianceOfStockPrice(double time)

getForwardValue

double getForwardValue(double time)

getRiskFreeRate

double getRiskFreeRate()

getNumStandardDeviations

double getNumStandardDeviations()

getNumSpacesteps

int getNumSpacesteps()

getNumTimesteps

int getNumTimesteps()

getVolatility

double getVolatility()

getLocalVolatility

double getLocalVolatility(double assetValue,
 double time)