Interface FiniteDifference1DModel

    • Method Detail

      • 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.
        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
        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)