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

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

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    final BoundaryCondition lower2 = new NeumannBoundaryCondition(1.0, sNodes2[0], true);
    final BoundaryCondition upper2 = new NeumannBoundaryCondition(1.0, sNodes2[nSNodes - 1], false);

    //run the PDE solver backward from the dividend date to zero
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db2 = new PDE1DDataBundle<>(pde, res1.getTerminalResults(), lower2, upper2, grid2);
    final PDETerminalResults1D res2 = (PDETerminalResults1D) solver.solve(db2);

    final Interpolator1DDataBundle interpolDB2 = INTEPOLATOR1D.getDataBundle(sNodes2, res2.getTerminalResults());
    final double val2 = INTEPOLATOR1D.interpolate(interpolDB2, Math.log(SPOT));
    return val2;
  }
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  @Test
      (enabled = false)
      public void test() {

    final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(1.0, true);
    final PDEFullResults1D res = (PDEFullResults1D) solver.solve(DATA);
    PDEUtilityTools.printSurface("wave", res);
  }
}
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    final MeshingFunction timeMesh = new ExponentialMeshing(0, EXPIRY, 100, 0.0);
    final MeshingFunction spaceMesh = new ExponentialMeshing(fL, fH, 101, 0.0);

    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(PDE, INITIAL_COND, lower, upper, grid);
    final PDEResults1D res = solver.solve(db);

    final int n = res.getNumberSpaceNodes();
    //    for (int i = 0; i < n; i++) {
    //      System.out.println(res.getSpaceValue(i) + "\t" + res.getFunctionValue(i));
    //    }
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    // ZZConvectionDiffusionPDEDataBundle pde_data = PDE_DATA_PROVIDER.getBackwardsLocalVolLogPayoff(EXPIRY, lvm);
    final ConvectionDiffusionPDE1DStandardCoefficients pde = PDE_DATA_PROVIDER.getLogBackwardsLocalVol(EXPIRY, lvm);

    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, INITIAL_COND, lower, upper, grid);
    final PDEResults1D res = solver.solve(db);

    final int n = res.getNumberSpaceNodes();
    final double[] values = new double[n];
    for (int i = 0; i < n; i++) {
      //      System.out.println(res.getSpaceValue(i) + "\t" + res.getFunctionValue(i));
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