Package net.finmath.finitedifference.solvers
package net.finmath.finitedifference.solvers
Package net.finmath.finitedifference.solvers.
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ClassDescriptionActivation policy for two-state finite-difference products in which the active regime continues with its own continuation value once the barrier event has occurred.Interface for finite difference solvers.Centralized factory for selecting the finite-difference solver associated with a given model, product, discretization, and exercise specification.Theta-method solver for a one-dimensional PDE in state-variable form.Theta-method solver for a one-dimensional PIDE with an explicit jump term.Direct two-state theta-method solver for 1D knock-in barrier-style products.Theta-method solver for two-dimensional PDEs in state-variable form.Builds finite difference matrices for approximating the first and second derivatives of a function sampled on a (possibly) non-uniform grid.Activation policy for two-state finite-difference products with immediate cash settlement upon barrier activation.Utility class providing a projected successive over-relaxation (PSOR) algorithm for tridiagonal linear complementarity problems.Performs a Successive Over-Relaxation (SOR) decomposition for solving linear systems of the form
A x = b.Shared matrix-free assembly utilities for one-dimensional theta-method finite-difference solvers.Container for model coefficients on a one-dimensional grid in the deterministic-rate equity case.Utility class providing an implementation of the Thomas algorithm for solving a tridiagonal linear system.Data container representing a tridiagonal matrix by its three diagonals.Governs how barrier activation couples the inactive and active regimes in the direct one-dimensional two-state knock-in solver.Provides the outer boundary values for the active regime in a two-state knock-in finite difference solver.