Module net.finmath.lib

Package net.finmath.finitedifference.solvers

Class FDMThetaMethod

java.lang.Object

net.finmath.finitedifference.solvers.FDMThetaMethod

public class FDMThetaMethod
extends Object

One dimensional finite difference solver. Theta method for local volatility PDE. This is where the real stuff happens.

Author:

Ralph Rudd, Christian Fries, Jörg Kienitz

Constructor Summary

Constructors

Constructor	Description
FDMThetaMethod(FiniteDifference1DModel model, FiniteDifference1DBoundary boundaryCondition, double timeHorizon, double center, double theta)

Method Summary

Modifier and Type	Method	Description
double[][]	getValue(double evaluationTime, double time, DoubleUnaryOperator valueAtMaturity)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

FDMThetaMethod

public FDMThetaMethod(FiniteDifference1DModel model,
 FiniteDifference1DBoundary boundaryCondition,
 double timeHorizon,
 double center,
 double theta)

Method Details

getValue

public double[][] getValue(double evaluationTime,
 double time,
 DoubleUnaryOperator valueAtMaturity)