Package org.jquantlib.methods.finitedifferences

Examples of org.jquantlib.methods.finitedifferences.StandardFiniteDifferenceModel.rollback()

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        fdVanillaEngine.initializeBoundaryConditions();

        final StandardFiniteDifferenceModel model = new StandardFiniteDifferenceModel(fdVanillaEngine.finiteDifferenceOperator, fdVanillaEngine.bcS);

        prices = new SampledCurve(fdVanillaEngine.intrinsicValues);
        prices.setValues( model.rollback(prices.values(), fdVanillaEngine.getResidualTime(), 0, fdVanillaEngine.timeSteps) );

        final OneAssetOption.ResultsImpl r = (OneAssetOption.ResultsImpl)results;
        r.value = prices.valueAtCenter();
        final Option.GreeksImpl greeks = r.greeks();
        greeks.delta = prices.firstDerivativeAtCenter();
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        fdVanillaEngine.initializeBoundaryConditions();

        final StandardFiniteDifferenceModel model = new StandardFiniteDifferenceModel(fdVanillaEngine.finiteDifferenceOperator, fdVanillaEngine.bcS);

        prices = new SampledCurve(fdVanillaEngine.intrinsicValues);
        prices.setValues( model.rollback(prices.values(), fdVanillaEngine.getResidualTime(), 0, fdVanillaEngine.timeSteps) );

        final OneAssetOption.ResultsImpl r = (OneAssetOption.ResultsImpl)results_;
        r.value = prices.valueAtCenter();
        final Option.GreeksImpl greeks = r.greeks();
        greeks.delta = prices.firstDerivativeAtCenter();
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