FiniteDifference1DModel (finmath lib 6.0.0 API)

All Superinterfaces:

Model

All Known Implementing Classes:

FDMBlackScholesModel, FDMConstantElasticityOfVarianceModel
```
public interface FiniteDifference1DModel
extends Model
```
Interface one dimensional finite difference models.

Version:

1.0

Author:

Christian Fries

Method Summary

All Methods Instance Methods Abstract Methods
Modifier and Type	Method	Description
`double`	`getForwardValue(double time)`
`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)`

Method Detail

getValue
```
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.

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 }.

varianceOfStockPrice

double varianceOfStockPrice(double time)

getForwardValue

double getForwardValue(double time)

getRiskFreeRate
```
double getRiskFreeRate()
```

getNumStandardDeviations
```
double getNumStandardDeviations()
```

getNumSpacesteps
```
int getNumSpacesteps()
```

getNumTimesteps
```
int getNumTimesteps()
```

getVolatility
```
double getVolatility()
```

getLocalVolatility

double getLocalVolatility(double assetValue,
                          double time)