Package org.jquantlib.math

Examples of org.jquantlib.math.SampledCurve

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    // public constructors
    //

    public FDEuropeanEngine(final GeneralizedBlackScholesProcess process, final int timeSteps, final int gridPoints, final boolean timeDependent) {
        fdVanillaEngine = new FDVanillaEngine(process, timeSteps, gridPoints, timeDependent);
        prices = new SampledCurve(gridPoints);
        process.addObserver(this);
    }
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        fdVanillaEngine.initializeOperator();
        fdVanillaEngine.initializeBoundaryConditions();

        final StandardFiniteDifferenceModel model = new StandardFiniteDifferenceModel(fdVanillaEngine.finiteDifferenceOperator, fdVanillaEngine.bcS);

        prices = new SampledCurve(fdVanillaEngine.intrinsicValues);
        prices.setValues( model.rollback(prices.values(), fdVanillaEngine.getResidualTime(), 0, fdVanillaEngine.timeSteps) );

        final OneAssetOption.ResultsImpl r = (OneAssetOption.ResultsImpl)results_;
        r.value = prices.valueAtCenter();
        final Option.GreeksImpl greeks = r.greeks();
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Related Classes of org.jquantlib.math.SampledCurve

  • org.jquantlib.math.functions.Identity
  • org.jquantlib.math.interpolations.CubicInterpolation
  • org.jquantlib.math.interpolations.NaturalCubicInterpolation
  • org.jquantlib.math.matrixutilities.Array
  • org.jquantlib.pricingengines.vanilla.finitedifferences.FDEuropeanEngine
  • org.jquantlib.pricingengines.vanilla.finitedifferences.FDStepConditionEngine
  • org.jquantlib.pricingengines.vanilla.finitedifferences.FDVanillaEngine
  • org.jquantlib.lang.exceptions.LibraryException
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