Package com.opengamma.analytics.financial.model.finitedifference

Examples of com.opengamma.analytics.financial.model.finitedifference.ConvectionDiffusionPDE1DCoefficients


   * @return Forward (non-discounted) price of log-contact
   */
  private double logContractPriceFromSpotPDE(final LocalVolatilitySurfaceStrike lv) {

    //Set up the PDE to give the forward (non-discounted) option price
    final ConvectionDiffusionPDE1DCoefficients pde = PDE_PROVIDER.getLogBackwardsLocalVol(0.0, -DRIFT, EXPIRY, lv);
    final Function1D<Double, Double> initialCon = INITIAL_COND_PROVIDER.getLogContractPayoffInLogCoordinate();

    final double theta = 0.5;
    final double yL = Math.log(SPOT / 6);
    final double yH = Math.log(6 * SPOT);
 
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