Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class Fdm2dBlackScholesSolver

java.lang.Object

org.quantlib.Fdm2dBlackScholesSolver

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class Fdm2dBlackScholesSolver
extends Object
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	Fdm2dBlackScholesSolver(long cPtr, boolean cMemoryOwn)
	Fdm2dBlackScholesSolver(GeneralizedBlackScholesProcess p1, GeneralizedBlackScholesProcess p2, double correlation, FdmSolverDesc solverDesc)
	Fdm2dBlackScholesSolver(GeneralizedBlackScholesProcess p1, GeneralizedBlackScholesProcess p2, double correlation, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc)
	Fdm2dBlackScholesSolver(GeneralizedBlackScholesProcess p1, GeneralizedBlackScholesProcess p2, double correlation, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, boolean localVol)
	Fdm2dBlackScholesSolver(GeneralizedBlackScholesProcess p1, GeneralizedBlackScholesProcess p2, double correlation, FdmSolverDesc solverDesc, FdmSchemeDesc schemeDesc, boolean localVol, double illegalLocalVolOverwrite)

Method Summary

Modifier and Type	Method	Description
void	delete()
double	deltaXat(double x, double y)
double	deltaYat(double x, double y)
protected void	finalize()
double	gammaXat(double x, double y)
double	gammaXYat(double x, double y)
double	gammaYat(double x, double y)
protected static long	getCPtr(Fdm2dBlackScholesSolver obj)
protected void	swigSetCMemOwn(boolean own)
double	thetaAt(double x, double y)
double	valueAt(double x, double y)

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

close

Constructor Detail

Fdm2dBlackScholesSolver

protected Fdm2dBlackScholesSolver(long cPtr,
                                  boolean cMemoryOwn)

Fdm2dBlackScholesSolver

public Fdm2dBlackScholesSolver(GeneralizedBlackScholesProcess p1,
                               GeneralizedBlackScholesProcess p2,
                               double correlation,
                               FdmSolverDesc solverDesc,
                               FdmSchemeDesc schemeDesc,
                               boolean localVol,
                               double illegalLocalVolOverwrite)

Fdm2dBlackScholesSolver

public Fdm2dBlackScholesSolver(GeneralizedBlackScholesProcess p1,
                               GeneralizedBlackScholesProcess p2,
                               double correlation,
                               FdmSolverDesc solverDesc,
                               FdmSchemeDesc schemeDesc,
                               boolean localVol)

Fdm2dBlackScholesSolver

public Fdm2dBlackScholesSolver(GeneralizedBlackScholesProcess p1,
                               GeneralizedBlackScholesProcess p2,
                               double correlation,
                               FdmSolverDesc solverDesc,
                               FdmSchemeDesc schemeDesc)

Fdm2dBlackScholesSolver

public Fdm2dBlackScholesSolver(GeneralizedBlackScholesProcess p1,
                               GeneralizedBlackScholesProcess p2,
                               double correlation,
                               FdmSolverDesc solverDesc)

Method Detail

getCPtr

protected static long getCPtr(Fdm2dBlackScholesSolver obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

Specified by:

delete in interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

valueAt

public double valueAt(double x,
                      double y)

thetaAt

public double thetaAt(double x,
                      double y)

deltaXat

public double deltaXat(double x,
                       double y)

deltaYat

public double deltaYat(double x,
                       double y)

gammaXat

public double gammaXat(double x,
                       double y)

gammaYat

public double gammaYat(double x,
                       double y)

gammaXYat

public double gammaXYat(double x,
                        double y)