Package 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
    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 Details

    • 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.