net.finmath.finitedifference.products.FiniteDifference1DProduct Maven / Gradle / Ivy

Go to download

Show more of this group Show more artifacts with this name
Show all versions of finmath-lib Show documentation

finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

The newest version!

package net.finmath.finitedifference.products;

import net.finmath.finitedifference.models.FiniteDifference1DModel;
import net.finmath.modelling.Model;
import net.finmath.modelling.Product;

/**
 * Interface one dimensional finite difference products.
 *
 * @author Christian Fries
 * @version 1.0
 */
public interface FiniteDifference1DProduct extends Product {

	/**
	 * Return the value of the product under the given model.
	 *
	 * @param evaluationTime The time at which the value (valuation) is requested.
	 * @param model The model under which the valuation should be performed.
	 * @return The random variable representing the valuation result.
	 */
	double[][] getValue(double evaluationTime, FiniteDifference1DModel model);


	@Override
	default Object getValue(final double evaluationTime, final Model model) {
		if(model instanceof FiniteDifference1DModel) {
			return getValue(evaluationTime, (FiniteDifference1DModel) model);
		}
		else {
			throw new IllegalArgumentException(
					"The product " + this.getClass()
					+ " cannot be valued against a model " + model.getClass() + "."
					+ "It requires a model of type " + FiniteDifference1DModel.class + "."
					);
		}
	}
}