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

Examples of com.opengamma.analytics.financial.model.finitedifference.ExponentialMeshing.evaluate()

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    final PDEGrid1D[] grid;
    final double[] theta;

    if (_useBurnin) {
      final int tBurnNodes = (int) Math.max(2, timeNodes * _burninFrac);
      final double dt = tMesh.evaluate(1) - tMesh.evaluate(0);
      final double tBurn = tBurnNodes * dt * dt;
      final MeshingFunction tBurnMesh = new ExponentialMeshing(0, tBurn, tBurnNodes, 0.0);
      tMesh = new ExponentialMeshing(tBurn, t, timeNodes - tBurnNodes, lambda);
      grid = new PDEGrid1D[2];
      grid[0] = new PDEGrid1D(tBurnMesh, xMesh);
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    final PDEGrid1D[] grid;
    final double[] theta;

    if (_useBurnin) {
      final int tBurnNodes = (int) Math.max(2, timeNodes * _burninFrac);
      final double dt = tMesh.evaluate(1) - tMesh.evaluate(0);
      final double tBurn = tBurnNodes * dt * dt;
      final MeshingFunction tBurnMesh = new ExponentialMeshing(0, tBurn, tBurnNodes, 0.0);
      tMesh = new ExponentialMeshing(tBurn, t, timeNodes - tBurnNodes, lambda);
      grid = new PDEGrid1D[2];
      grid[0] = new PDEGrid1D(tBurnMesh, xMesh);
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    final PDEGrid1D[] grid;
    final double[] theta;

    if (_useBurnin) {
      final int tBurnNodes = (int) Math.max(2, timeNodes * _burninFrac);
      final double dt = tMesh.evaluate(1) - tMesh.evaluate(0);
      final double tBurn = tBurnNodes * dt * dt;
      final MeshingFunction tBurnMesh = new ExponentialMeshing(0, tBurn, tBurnNodes, 0.0);
      tMesh = new ExponentialMeshing(tBurn, t, timeNodes - tBurnNodes, lambda);
      grid = new PDEGrid1D[2];
      grid[0] = new PDEGrid1D(tBurnMesh, xMesh);
View Full Code Here
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    final PDEGrid1D[] grid;
    final double[] theta;

    if (_useBurnin) {
      final int tBurnNodes = (int) Math.max(2, timeNodes * _burninFrac);
      final double dt = tMesh.evaluate(1) - tMesh.evaluate(0);
      final double tBurn = tBurnNodes * dt * dt;
      final MeshingFunction tBurnMesh = new ExponentialMeshing(0, tBurn, tBurnNodes, 0.0);
      tMesh = new ExponentialMeshing(tBurn, t, timeNodes - tBurnNodes, lambda);
      grid = new PDEGrid1D[2];
      grid[0] = new PDEGrid1D(tBurnMesh, xMesh);
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    final MeshingFunction timeMesh = new ExponentialMeshing(0, T, tNodes, 5.0);
    final MeshingFunction spaceMesh = new HyperbolicMeshing(LOWER.getLevel(), UPPER.getLevel(), SPOT, xNodes, 0.01);

    final double[] timeGrid = new double[tNodes];
    for (int n = 0; n < tNodes; n++) {
      timeGrid[n] = timeMesh.evaluate(n);
    }

    final double[] spaceGrid = new double[xNodes];
    for (int i = 0; i < xNodes; i++) {
      spaceGrid[i] = spaceMesh.evaluate(i);
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