com.imsl.math

Interface FeynmanKac.InitialData

Enclosing class:

FeynmanKac

public static interface FeynmanKac.InitialData

Public interface for adjustment of initial data or as an opportunity for output during the integration steps.

Method Summary

Modifier and Type	Method and Description
void	init(double[] xGrid, double[] tGrid, double time, double[] yprime, double[] y, double[] absoluteErrorTolerance, double[] relativeErrorTolerance) Method that allows for adjustment of initial data or as an opportunity for output during the integration steps.

Method Detail

init

void init(double[] xGrid,
          double[] tGrid,
          double time,
          double[] yprime,
          double[] y,
          double[] absoluteErrorTolerance,
          double[] relativeErrorTolerance)

Method that allows for adjustment of initial data or as an opportunity for output during the integration steps.

Parameters:

xGrid - a double array containing the grid points in the x-direction.

tGrid - a double array containing the grid points in the t-direction.

time - a double, containing the time point for the evaluation.

yprime - a double array of length 3*xGrid.length containing the derivatives of the Hermite quintic spline coefficients at time point time.

y - a double array of length 3*xGrid.length containing the coefficients of the Hermite quintic spline at time point time.

absoluteErrorTolerance - a double array of length 3*xGrid.length containing absolute error tolerances.

relativeErrorTolerance - a double array of length 3*xGrid.length containing relative error tolerances.