Package org.jquantlib.methods.finitedifferences

Examples of org.jquantlib.methods.finitedifferences.NeumannBC

143
144
145
146
147
148
149
150
151
152
153
154
155
        finiteDifferenceOperator = OperatorFactory.getOperator(process, intrinsicValues.grid(), getResidualTime(), timeDependent);
    }

    protected void initializeBoundaryConditions() {

        bcS.add(new NeumannBC(
                intrinsicValues.value(1)- intrinsicValues.value(0),
                NeumannBC.Side.Lower));

        bcS.add(new NeumannBC(
                intrinsicValues.value(intrinsicValues.size() - 1)- intrinsicValues.value(intrinsicValues.size() - 2),
                NeumannBC.Side.Upper));
    }
View Full Code Here
143
144
145
146
147
148
149
150
151
152
153
154
155
        finiteDifferenceOperator = OperatorFactory.getOperator(process, intrinsicValues.grid(), getResidualTime(), timeDependent);
    }

    protected void initializeBoundaryConditions() {

        bcS.add(new NeumannBC(
                intrinsicValues.value(1)- intrinsicValues.value(0),
                NeumannBC.Side.Lower));

        bcS.add(new NeumannBC(
                intrinsicValues.value(intrinsicValues.size() - 1)- intrinsicValues.value(intrinsicValues.size() - 2),
                NeumannBC.Side.Upper));
    }
View Full Code Here
TOP

Related Classes of org.jquantlib.methods.finitedifferences.NeumannBC

  • org.jquantlib.pricingengines.vanilla.finitedifferences.FDVanillaEngine
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.