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

Examples of com.opengamma.analytics.financial.model.finitedifference.ExtendedCoupledPDEDataBundle

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        final NormalDistribution dist = new NormalDistribution(0, _volRootTOffset);
        return initialProb * dist.getPDF(x) / s;
      }
    };

    return new ExtendedCoupledPDEDataBundle(FunctionalDoublesSurface.from(a), FunctionalDoublesSurface.from(b), FunctionalDoublesSurface.from(c), FunctionalDoublesSurface.from(aStar),
        FunctionalDoublesSurface.from(bStar), -lambda2, initialCondition);

  }
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        final NormalDistribution dist = new NormalDistribution(0, _volRootTOffset);
        return initialProb * dist.getPDF(x) / s;
      }
    };

    return new ExtendedCoupledPDEDataBundle(FunctionalDoublesSurface.from(a), FunctionalDoublesSurface.from(b), FunctionalDoublesSurface.from(c), FunctionalDoublesSurface.from(aStar),
        FunctionalDoublesSurface.from(bStar), -lambda2, initialCondition);

  }
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        final NormalDistribution dist = new NormalDistribution(0, _volRootTOffset);
        return initialProb * dist.getPDF(x) / s;
      }
    };

    return new ExtendedCoupledPDEDataBundle(FunctionalDoublesSurface.from(a), FunctionalDoublesSurface.from(b), FunctionalDoublesSurface.from(c), FunctionalDoublesSurface.from(alpha),
        FunctionalDoublesSurface.from(beta), lambda2, initialCondition);

  }
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Related Classes of com.opengamma.analytics.financial.model.finitedifference.ExtendedCoupledPDEDataBundle

  • com.opengamma.analytics.financial.model.finitedifference.applications.CoupledPDEDataBundleProvider
  • com.opengamma.analytics.financial.model.finitedifference.applications.LocalVolDensity
  • com.opengamma.analytics.financial.model.finitedifference.applications.TwoStateMarkovChainWithLocalVolDensity
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