Package net.finmath.finitedifference.solvers.adi

package net.finmath.finitedifference.solvers.adi
Package net.finmath.finitedifference.solvers.adi.
  • Class
    Description
    AbstractADI2D
    Generic two-dimensional alternating direction implicit finite-difference solver.
    AbstractADI2D.DoubleTernaryOperator
    Functional interface for payoffs or obstacles depending on time and two state variables.
    AbstractADI3D
    Generic three-dimensional alternating direction implicit finite difference solver.
    AbstractADI3D.DoubleQuaternaryOperator
    This interface is needed for payoff depending explicitly on the time dimension and three state variables.
    AbstractADI3D.DoubleTernaryOperator
    Ternary payoff operator used for terminal conditions depending on three state variables.
    ActivatedBarrierTrace2D
    Immutable container for the activated post-hit value traced along the barrier as a function of the second state variable and time.
    ADI2DStencilBuilder
    Builds tridiagonal line matrices and exact directional operator actions for alternating direction implicit (ADI) solves for two-dimensional finite difference models.
    ADI2DStencilBuilder.DirectionalCoefficients
    Coefficients of the 1D three-point stencil
    ADI3DStencilBuilder
    Builds tridiagonal line matrices for alternating direction implicit (ADI) solves for three-dimensional finite difference models.
    BarrierPDEMode
    Identifies the PDE role of a barrier-oriented 2D ADI solver.
    BarrierPreHitSpecification
    Immutable specification for the pre-hit continuation PDE used in the direct 2D knock-in formulation.
    FDM3DGridUtil
    Utility methods for indexing and boundary handling on a three-dimensional grid.
    FDMAsianADI2D
    Specialized ADI solver for arithmetic Asian options in the lifted state (S,I).
    FDMAsianHestonADI3D
    Specialized 3D ADI solver for arithmetic Asian options under a lifted Heston state (S, v, I), where dS_t = mu_S dt + diffusion terms, dv_t = mu_v dt + diffusion terms, dI_t = S_t dt.
    FDMAsianSabrADI3D
    Specialized three-dimensional ADI solver for arithmetic Asian options under a lifted SABR state (S,\alpha,I).
    FDMBarrierHestonADI2D
    Barrier-aware ADI finite difference solver for the two-dimensional Heston PDE.
    FDMBarrierSabrADI2D
    Barrier-aware ADI finite difference solver for the two-dimensional SABR PDE.
    FDMBatesADI2D
    ADI finite difference solver for the two-dimensional Bates PIDE.
    FDMHestonADI2D
    ADI finite-difference solver for the two-dimensional Heston PDE.
    FDMMultiAssetBlackScholesADI2D
    ADI finite-difference solver for the two-dimensional multi-asset Black-Scholes PDE.
    FDMSabrADI2D
    ADI finite-difference solver for two-dimensional SABR PDEs.