FiniteDifference1DModel (finmath lib 5.0.0 API)

All Superinterfaces:: Model

All Known Implementing Classes:: FDMBlackScholesModel, FDMConstantElasticityOfVarianceModel

public interface FiniteDifference1DModel
extends Model

Interface one dimensional finite difference models.

Version:: 1.0
Author:: Christian Fries

Method Summary

Modifier and Type	Method	Description
`double`	`getForwardValue(double time)`
`double`	`getLocalVolatility(double assetValue, double time)`
`int`	`getNumSpacesteps()`
`double`	`getNumStandardDeviations()`
`int`	`getNumTimesteps()`
`double`	`getRiskFreeRate()`
`double[][]`	`getValue(double evaluationTime, double time, DoubleUnaryOperator values, FiniteDifference1DBoundary boundary)`	Return the conditional expectation of the given values at a given time contrained by the given boundary conditions.
`double`	`getVolatility()`
`double`	`varianceOfStockPrice(double time)`

Method Details
- getValue
  
  double[][] getValue(double evaluationTime, double time, DoubleUnaryOperator values, FiniteDifference1DBoundary boundary)
  
  Return the conditional expectation of the given values at a given time contrained by the given boundary conditions.
  
  Parameters:
  
  evaluationTime - The time at which the conditional expectation is requested.
  
  time - The time at which we observe values.
  
  values - The values.
  
  boundary - The given boundary conditions
  
  Returns:
  
  Vector of { states , values }.
- varianceOfStockPrice
  
  double varianceOfStockPrice(double time)
- getForwardValue
  
  double getForwardValue(double time)
- getRiskFreeRate
  
  double getRiskFreeRate()
- getNumStandardDeviations
  
  double getNumStandardDeviations()
- getNumSpacesteps
  
  int getNumSpacesteps()
- getNumTimesteps
  
  int getNumTimesteps()
- getVolatility
  
  double getVolatility()
- getLocalVolatility
  
  double getLocalVolatility(double assetValue, double time)