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

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

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    final BoundaryCondition upper = new NeumannBoundaryCondition(0, kMax, false);

    final CoupledPDEDataBundle d1 = new CoupledPDEDataBundle(_data[0], _initalCond1, lower1, upper, grid);
    final CoupledPDEDataBundle d2 = new CoupledPDEDataBundle(_data[1], _initalCond2, lower2, upper, grid);

    final CoupledFiniteDifference solver = new CoupledFiniteDifference(theta, true);
    final PDEResults1D[] res = solver.solve(d1, d2);
    final PDEFullResults1D res1 = (PDEFullResults1D) res[0];
    final PDEFullResults1D res2 = (PDEFullResults1D) res[1];

    final double[][] prices = new double[grid.getNumTimeNodes()][grid.getNumSpaceNodes()];
    for (int i = 0; i < grid.getNumTimeNodes(); i++) {
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    final BoundaryCondition upper = new DirichletBoundaryCondition(0.0, grid.getSpaceNode(grid.getNumSpaceNodes() - 1));

    CoupledPDEDataBundle d1 = new CoupledPDEDataBundle(_data1, _initCon11, lower, upper, grid);
    CoupledPDEDataBundle d2 = new CoupledPDEDataBundle(_data2, _initCon12, lower, upper, grid);

    final CoupledFiniteDifference solver = new CoupledFiniteDifference(THETA, true);
    final PDEResults1D[] res = solver.solve(d1, d2);
    //handle this with generics 
    final PDEFullResults1D res1 = (PDEFullResults1D) res[0];
    final PDEFullResults1D res2 = (PDEFullResults1D) res[1];
    return new PDEFullResults1D[] {res1, res2 };
  }
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Related Classes of com.opengamma.analytics.financial.model.finitedifference.CoupledFiniteDifference

  • com.opengamma.analytics.financial.model.finitedifference.applications.TwoStateMarkovChainDensity
  • com.opengamma.analytics.financial.model.finitedifference.applications.TwoStateMarkovChainPricer
  • com.opengamma.analytics.math.linearalgebra.DecompositionResult
  • com.opengamma.analytics.math.matrix.DoubleMatrix2D
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