Module net.finmath.lib

Package net.finmath.finitedifference.products

Interface FiniteDifference1DProduct

All Superinterfaces:

Product

All Known Implementing Classes:

FDMEuropeanCallOption, FDMEuropeanPutOption

public interface FiniteDifference1DProduct
extends Product

Interface one dimensional finite difference products.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
double[][]	getValue(double evaluationTime, FiniteDifference1DModel model)	Return the value of the product under the given model.
default Object	getValue(double evaluationTime, Model model)	Return the valuation of the product using the given model.

Methods inherited from interface net.finmath.modelling.Product

getValues

Method Details

getValue

double[][] getValue(double evaluationTime,
 FiniteDifference1DModel model)

Return the value of the product under the given model.

Parameters:

evaluationTime - The time at which the value (valuation) is requested.

model - The model under which the valuation should be performed.

Returns:

The random variable representing the valuation result.

getValue

default Object getValue(double evaluationTime,
 Model model)

Description copied from interface: Product

Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.

Specified by:

getValue in interface Product

Parameters:

evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.

model - The model under which the product is valued.

Returns:

Object containing the value of the product using the given model.