net.finmath.finitedifference.solvers

Class FDMThetaMethod

java.lang.Object

net.finmath.finitedifference.solvers.FDMThetaMethod

public class FDMThetaMethod
extends Object

One dimensional finite difference solver. This is where the real stuff happens.

Version:

1.0

Author:

Ralph Rudd, Christian Fries, Jörg Kienitz

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and 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 Detail

FDMThetaMethod

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

Method Detail

getValue

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