Package org.jquantlib.methods.finitedifferences

Examples of org.jquantlib.methods.finitedifferences.StandardSystemFiniteDifferenceModel

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        bcSet.push_back(controlBCs);

        conditionSet.push_back(stepCondition);
        conditionSet.push_back(new NullCondition<Array>());

        final StandardSystemFiniteDifferenceModel model = new StandardSystemFiniteDifferenceModel(operatorSet, bcSet);
        arraySet = model.rollback(arraySet, getResidualTime(),0.0, timeSteps, conditionSet);

        //TODO: code review: Verify use clone()
        prices.setValues(arraySet.get(0).clone());
        controlPrices.setValues(arraySet.get(1).clone());
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        bcSet.push_back(controlBCs);

        conditionSet.push_back(stepCondition);
        conditionSet.push_back(new NullCondition<Array>());

        final StandardSystemFiniteDifferenceModel model = new StandardSystemFiniteDifferenceModel(operatorSet, bcSet);
        arraySet = model.rollback(arraySet, getResidualTime(),0.0, timeSteps, conditionSet);

        //TODO: code review: Verify use clone()
        prices.setValues(arraySet.get(0).clone());
        controlPrices.setValues(arraySet.get(1).clone());
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Related Classes of org.jquantlib.methods.finitedifferences.StandardSystemFiniteDifferenceModel

  • org.jquantlib.pricingengines.vanilla.finitedifferences.FDStepConditionEngine
  • java.util.HashSet
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