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

Examples of com.opengamma.analytics.financial.model.finitedifference.ExtendedCoupledFiniteDifference.solve()


    //BoundaryCondition lower = new DirichletBoundaryCondition(0.0, 0.0);//TODO for beta < 0.5 zero is accessible and thus there will be non-zero
    //density there
    final BoundaryCondition upper = new DirichletBoundaryCondition(0.0, grid.getSpaceNode(grid.getNumSpaceNodes() - 1));

    final ExtendedCoupledFiniteDifference solver = new ExtendedCoupledFiniteDifference(THETA);
    final PDEResults1D[] res = solver.solve(_data1, _data2, grid, lower, upper, lower, upper, null);
    //handle this with generics
    final PDEFullResults1D res1 = (PDEFullResults1D) res[0];
    final PDEFullResults1D res2 = (PDEFullResults1D) res[1];
    return new PDEFullResults1D[] {res1, res2 };
  }
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    for (int i = 0; i < xNodes; i++) {
      spaceGrid[i] = spaceMesh.evaluate(i);
    }
    final PDEGrid1D grid = new PDEGrid1D(timeGrid, spaceGrid);

    final PDEResults1D[] res = solver.solve(DATA1, DATA2, grid, LOWER, UPPER, LOWER, UPPER, null);
    final PDEFullResults1D res1 = (PDEFullResults1D) res[0];
    final PDEFullResults1D res2 = (PDEFullResults1D) res[1];

    JSONObject json = new JSONObject();
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