- 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 protectedFdm2dBlackScholesSolver(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
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description voiddelete()doubledeltaXat(double x, double y)doubledeltaYat(double x, double y)protected voidfinalize()doublegammaXat(double x, double y)doublegammaXYat(double x, double y)doublegammaYat(double x, double y)protected static longgetCPtr(Fdm2dBlackScholesSolver obj)protected voidswigSetCMemOwn(boolean own)doublethetaAt(double x, double y)doublevalueAt(double x, double y)
-
-
-
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)
-
delete
public void delete()
- Specified by:
deletein interfaceorg.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)
-
-