- java.lang.Object
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- net.finmath.finitedifference.solvers.FDMThetaMethod
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public class FDMThetaMethod extends Object
One dimensional finite difference solver. Theta method for local volatility PDE. This is where the real stuff happens.- Author:
- Ralph Rudd, Christian Fries, Jörg Kienitz
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Constructor Summary
Constructors Constructor Description FDMThetaMethod(FiniteDifference1DModel model, FiniteDifference1DBoundary boundaryCondition, double timeHorizon, double center, double theta)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double[][]
getValue(double evaluationTime, double time, DoubleUnaryOperator valueAtMaturity)
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Constructor Detail
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FDMThetaMethod
public FDMThetaMethod(FiniteDifference1DModel model, FiniteDifference1DBoundary boundaryCondition, double timeHorizon, double center, double theta)
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Method Detail
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getValue
public double[][] getValue(double evaluationTime, double time, DoubleUnaryOperator valueAtMaturity)
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