Class FDMConstantElasticityOfVarianceModel
- java.lang.Object
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- net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel
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- All Implemented Interfaces:
FiniteDifference1DModel
,Model
public class FDMConstantElasticityOfVarianceModel extends Object implements FiniteDifference1DModel
CEV model using finite difference method.- Author:
- Ralph Rudd, Christian Fries, Jörg Kienitz
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Constructor Summary
Constructors Constructor Description FDMConstantElasticityOfVarianceModel(int numTimesteps, int numSpacesteps, int numStandardDeviations, double center, double theta, double initialValue, double riskFreeRate, double volatility, double exponent)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
getForwardValue(double time)
double
getInitialValue()
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)
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Method Detail
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varianceOfStockPrice
public double varianceOfStockPrice(double time)
- Specified by:
varianceOfStockPrice
in interfaceFiniteDifference1DModel
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getForwardValue
public double getForwardValue(double time)
- Specified by:
getForwardValue
in interfaceFiniteDifference1DModel
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getRiskFreeRate
public double getRiskFreeRate()
- Specified by:
getRiskFreeRate
in interfaceFiniteDifference1DModel
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getInitialValue
public double getInitialValue()
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getVolatility
public double getVolatility()
- Specified by:
getVolatility
in interfaceFiniteDifference1DModel
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getLocalVolatility
public double getLocalVolatility(double assetValue, double time)
- Specified by:
getLocalVolatility
in interfaceFiniteDifference1DModel
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getNumTimesteps
public int getNumTimesteps()
- Specified by:
getNumTimesteps
in interfaceFiniteDifference1DModel
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getNumSpacesteps
public int getNumSpacesteps()
- Specified by:
getNumSpacesteps
in interfaceFiniteDifference1DModel
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getNumStandardDeviations
public double getNumStandardDeviations()
- Specified by:
getNumStandardDeviations
in interfaceFiniteDifference1DModel
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getValue
public double[][] getValue(double evaluationTime, double time, DoubleUnaryOperator values, FiniteDifference1DBoundary boundary)
Description copied from interface:FiniteDifference1DModel
Return the conditional expectation of the given values at a given time contrained by the given boundary conditions.- Specified by:
getValue
in interfaceFiniteDifference1DModel
- 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 }.
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