Interface FiniteDifference1DBoundary
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- All Known Implementing Classes:
FDMEuropeanCallOption
,FDMEuropeanPutOption
public interface FiniteDifference1DBoundary
Interface for boundaries conditions provided to one dimensional finite difference solvers.- Version:
- 1.0
- Author:
- Christian Fries
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description double
getValueAtLowerBoundary(FiniteDifference1DModel model, double time, double assetValue)
Return the value of the value process at the lower boundary for a given time and asset value.double
getValueAtUpperBoundary(FiniteDifference1DModel model, double time, double assetValue)
Return the value of the value process at the upper boundary for a given time and asset value.
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Method Detail
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getValueAtLowerBoundary
double getValueAtLowerBoundary(FiniteDifference1DModel model, double time, double assetValue)
Return the value of the value process at the lower boundary for a given time and asset value.- Parameters:
model
- The model which uses the boundary condition (provides model parameters)time
- The time at which the boundary is observed.assetValue
- The value of the asset specifying the location of the boundary.- Returns:
- the value process at the lower boundary
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getValueAtUpperBoundary
double getValueAtUpperBoundary(FiniteDifference1DModel model, double time, double assetValue)
Return the value of the value process at the upper boundary for a given time and asset value.- Parameters:
model
- TODOtime
- The time at which the boundary is observed.assetValue
- The value of the asset specifying the location of the boundary.- Returns:
- the value process at the upper boundary
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