com.imsl.math
Interface FeynmanKac.Boundaries

Enclosing class:

FeynmanKac

public static interface FeynmanKac.Boundaries

Public interface for user supplied boundary coefficients and terminal condition the PDE must satisfy.

Method Summary

void	leftBoundaries(double time, double[][] coefficients) Returns the coefficient values of the left boundary conditions.
void	rightBoundaries(double time, double[][] coefficients) Returns the coefficient values of the right boundary conditions.
double	terminal(double z) Returns the terminal condition value.

Method Detail

leftBoundaries

void leftBoundaries(double time,
                    double[][] coefficients)

Returns the coefficient values of the left boundary conditions. There are numLeftBounds conditions specified at the left end, . The left boundary conditions are

Time dependency of the boundary coefficients can be controlled via method setTimeDependence. Use of this method will usually yield a more efficient algorithm because some finite element matrices do not have to be reassembled for each t value.

Parameters:

time - a double, the time point at which the boundary coefficients are to be evaluated.

coefficients - an output double array of dimension numLeftBounds by 4 containing the computed boundary coefficient values. The coefficients are stored row-wise according to the matrix scheme

rightBoundaries

void rightBoundaries(double time,
                     double[][] coefficients)

Returns the coefficient values of the right boundary conditions. There are numRightBounds conditions specified at the right end, . The right boundary conditions are

Time dependency of the boundary coefficients can be controlled via method setTimeDependence. Use of this method will usually yield a more efficient algorithm because some finite element matrices do not have to be reassembled for each t value.

Parameters:

time - a double, the time point at which the boundary coefficients are to be evaluated.

coefficients - an output double array of dimension numRightBounds by 4, containing the computed boundary coefficient values. The coefficients are stored row-wise according to the matrix scheme

terminal

double terminal(double z)

Returns the terminal condition value.

Parameters:

z - a double scalar, the point in x- direction, where the terminal condition is evaluated.

Returns:

a double scalar, the value of the terminal condition at point z.