Module net.finmath.lib

Package net.finmath.finitedifference.models

Interface FiniteDifference1DBoundary

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

Method Summary

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.

Method Detail

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

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 - TODO

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 upper boundary