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 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)