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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
package net.finmath.finitedifference.models;
/**
* Interface for boundaries conditions provided to one dimensional finite difference solvers.
*
* @author Christian Fries
* @version 1.0
*/
public interface FiniteDifference1DBoundary {
/**
* Return the value of the value process at the lower boundary for a given time and asset value.
* @param model The model which uses the boundary condition (provides model parameters)
* @param time The time at which the boundary is observed.
* @param assetValue The value of the asset specifying the location of the boundary.
*
* @return the value process at the lower boundary
*/
double getValueAtLowerBoundary(FiniteDifference1DModel model, double time, double assetValue);
/**
* Return the value of the value process at the upper boundary for a given time and asset value.
* @param model TODO
* @param time The time at which the boundary is observed.
* @param assetValue The value of the asset specifying the location of the boundary.
*
* @return the value process at the upper boundary
*/
double getValueAtUpperBoundary(FiniteDifference1DModel model, double time, double assetValue);
}