Package org.jquantlib.math

Examples of org.jquantlib.math.LogGrid

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    setMidRows(pd, pm, pu);
  }

  public BSMOperator(final Array grid, final GeneralizedBlackScholesProcess process, final double residualTime) {
    super(grid.size());
    final LogGrid logGrid = new LogGrid(grid);
    final PdeConstantCoeff<PdeBSM> cc = new PdeConstantCoeff<PdeBSM>(
        process, residualTime, process.stateVariable().currentLink().value()){};
    cc.generateOperator(residualTime, logGrid, this);
  }
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    setMidRows(pd, pm, pu);
  }

  public BSMOperator(final Array grid, final GeneralizedBlackScholesProcess process, final double residualTime) {
    super(grid.size());
    final LogGrid logGrid = new LogGrid(grid);
    final PdeConstantCoeff<PdeBSM> cc = new PdeConstantCoeff<PdeBSM>(
        PdeBSM.class, process, residualTime, process.stateVariable().currentLink().value());
    cc.generateOperator(residualTime, logGrid, this);
  }
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    return process.drift(t, x);
  }

    @Override
    public TransformedGrid applyGridType(final Array grid) {
        return new LogGrid(grid);
    }
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Related Classes of org.jquantlib.math.LogGrid

  • org.jquantlib.math.functions.Log
  • org.jquantlib.methods.finitedifferences.BSMOperator
  • org.jquantlib.methods.finitedifferences.PdeBSM
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