Uses of Interface
net.finmath.finitedifference.solvers.FDMSolver

Packages that use FDMSolver

Package	Description
net.finmath.finitedifference.assetderivativevaluation.products	Package net.finmath.finitedifference.assetderivativevaluation.products.
net.finmath.finitedifference.solvers	Package net.finmath.finitedifference.solvers.
net.finmath.finitedifference.solvers.adi	Package net.finmath.finitedifference.solvers.adi.

Uses of FDMSolver in net.finmath.finitedifference.assetderivativevaluation.products

Methods in net.finmath.finitedifference.assetderivativevaluation.products that return FDMSolver

Modifier and Type	Method	Description
FDMSolver	AsianOption.getSolver(FiniteDifferenceEquityModel model)	Returns the value.

Uses of FDMSolver in net.finmath.finitedifference.solvers

Classes in net.finmath.finitedifference.solvers that implement FDMSolver

Modifier and Type	Class	Description
class	FDMThetaMethod1D	Theta-method solver for a one-dimensional PDE in state-variable form.
class	FDMThetaMethod1DJump	Theta-method solver for a one-dimensional PIDE with an explicit jump term.
class	FDMThetaMethod1DTwoState	Direct two-state theta-method solver for 1D knock-in barrier-style products.
class	FDMThetaMethod2D	Theta-method solver for two-dimensional PDEs in state-variable form.

Methods in net.finmath.finitedifference.solvers that return FDMSolver

Modifier and Type	Method	Description
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Performs the operation.
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, BarrierPDEMode barrierMode, BarrierPreHitSpecification preHitSpecification)	Performs the operation.
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, Exercise exercise)	Performs the operation.
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, Exercise exercise, BarrierPDEMode barrierMode, BarrierPreHitSpecification preHitSpecification)	Performs the operation.

Uses of FDMSolver in net.finmath.finitedifference.solvers.adi

Classes in net.finmath.finitedifference.solvers.adi that implement FDMSolver

Modifier and Type	Class	Description
class	AbstractADI2D	Generic two-dimensional alternating direction implicit finite-difference solver.
class	AbstractADI3D	Generic three-dimensional alternating direction implicit finite difference solver.
class	FDMAsianADI2D	Specialized ADI solver for arithmetic Asian options in the lifted state (S,I).
class	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.
class	FDMAsianSabrADI3D	Specialized three-dimensional ADI solver for arithmetic Asian options under a lifted SABR state (S,\alpha,I).
class	FDMBarrierHestonADI2D	Barrier-aware ADI finite difference solver for the two-dimensional Heston PDE.
class	FDMBarrierSabrADI2D	Barrier-aware ADI finite difference solver for the two-dimensional SABR PDE.
class	FDMBatesADI2D	ADI finite difference solver for the two-dimensional Bates PIDE.
class	FDMHestonADI2D	ADI finite-difference solver for the two-dimensional Heston PDE.
class	FDMMultiAssetBlackScholesADI2D	ADI finite-difference solver for the two-dimensional multi-asset Black-Scholes PDE.
class	FDMSabrADI2D	ADI finite-difference solver for two-dimensional SABR PDEs.