Module net.finmath.lib

Package net.finmath.finitedifference.models

Class FDMConstantElasticityOfVarianceModel

java.lang.Object

net.finmath.finitedifference.models.FDMConstantElasticityOfVarianceModel

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

Constructor Summary

Constructors

Constructor	Description
FDMConstantElasticityOfVarianceModel(int numTimesteps, int numSpacesteps, int numStandardDeviations, double center, double theta, double initialValue, double riskFreeRate, double volatility, double exponent)

Method Summary

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)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

FDMConstantElasticityOfVarianceModel

public FDMConstantElasticityOfVarianceModel(int numTimesteps,
                                            int numSpacesteps,
                                            int numStandardDeviations,
                                            double center,
                                            double theta,
                                            double initialValue,
                                            double riskFreeRate,
                                            double volatility,
                                            double exponent)

Method Detail

varianceOfStockPrice

public double varianceOfStockPrice(double time)

Specified by:

varianceOfStockPrice in interface FiniteDifference1DModel

getForwardValue

public double getForwardValue(double time)

Specified by:

getForwardValue in interface FiniteDifference1DModel

getRiskFreeRate

public double getRiskFreeRate()

Specified by:

getRiskFreeRate in interface FiniteDifference1DModel

getInitialValue

public double getInitialValue()

getVolatility

public double getVolatility()

Specified by:

getVolatility in interface FiniteDifference1DModel

getLocalVolatility

public double getLocalVolatility(double assetValue,
                                 double time)

Specified by:

getLocalVolatility in interface FiniteDifference1DModel

getNumTimesteps

public int getNumTimesteps()

Specified by:

getNumTimesteps in interface FiniteDifference1DModel

getNumSpacesteps

public int getNumSpacesteps()

Specified by:

getNumSpacesteps in interface FiniteDifference1DModel

getNumStandardDeviations

public double getNumStandardDeviations()

Specified by:

getNumStandardDeviations in interface FiniteDifference1DModel

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 interface FiniteDifference1DModel

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 }.