Examples of ConvectionDiffusionPDE1DFullCoefficients

com.opengamma.analytics.financial.model.finitedifference.ConvectionDiffusionPDE1DFullCoefficients
PDE Data bundle representing PDEs of the type $\frac{\partial f}{\partial t} + a(t,x)\frac{\partial^2}{\partial x^2}\left[ \alpha(t,x) f \right] + b(t,x)\frac{\partial}{\partial x}\left[\beta(t,x) f \right] + c(t,x)f = 0$ , which includes the Fokker-Planck PDE.

Examples of com.opengamma.analytics.financial.model.finitedifference.ConvectionDiffusionPDE1DFullCoefficients

        final double s = ts[1];
        return shortRate.getYValue(t) * s;
      }
    };


    return new ConvectionDiffusionPDE1DFullCoefficients(UNITY_SURFACE, UNITY_SURFACE, ZERO_SURFACE, FunctionalDoublesSurface.from(alpha), FunctionalDoublesSurface.from(beta));


  }

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Examples of com.opengamma.analytics.financial.model.finitedifference.ConvectionDiffusionPDE1DFullCoefficients


        return forward.getDrift(t);
      }
    };


    return new ConvectionDiffusionPDE1DFullCoefficients(FunctionalDoublesSurface.from(a), FunctionalDoublesSurface.from(b), FunctionalDoublesSurface.from(c), FunctionalDoublesSurface.from(alpha),
        FunctionalDoublesSurface.from(beta));
  }

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Examples of com.opengamma.analytics.financial.model.finitedifference.ConvectionDiffusionPDE1DFullCoefficients

    final BoundaryCondition upper = new DirichletBoundaryCondition(0.0, 10 * FORWARD_CURVE.getForward(T));
    final MeshingFunction timeMesh = new ExponentialMeshing(0, T, tNodes, 5.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0.0, upper.getLevel(), SPOT, xNodes, 0.01);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);


    final ConvectionDiffusionPDE1DFullCoefficients pde1 = PDE_PROVIDER.getFokkerPlank(ConstantDoublesCurve.from(RATE), localVol);
    final ConvectionDiffusionPDE1DStandardCoefficients pde2 = PDE_PROVIDER.getFokkerPlankInStandardCoefficients(ConstantDoublesCurve.from(RATE), localVol);
    final Function1D<Double, Double> initalCondition = INITAL_CONDITION_PROVIDER.getLogNormalDensity(SPOT, 0.01, 0.2);


    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db1 = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde1, initalCondition, lower, upper, grid);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db2 = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde2, initalCondition, lower, upper, grid);

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