FeynmanKac.ComputeCoefficients Method

FeynmanKacComputeCoefficients Method

Determines the coefficients of the Hermite quintic splines that represent an approximate solution for the Feynman-Kac PDE.

Namespace: Imsl.Math
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

C++

Copy

public void ComputeCoefficients(
	int numLeftBounds,
	int numRightBounds,
	FeynmanKacIBoundaries pdeBounds,
	double[] xGrid,
	double[] tGrid
)

Public Sub ComputeCoefficients ( 
	numLeftBounds As Integer,
	numRightBounds As Integer,
	pdeBounds As FeynmanKacIBoundaries,
	xGrid As Double(),
	tGrid As Double()
)

public:
void ComputeCoefficients(
	int numLeftBounds, 
	int numRightBounds, 
	FeynmanKacIBoundaries^ pdeBounds, 
	array<double>^ xGrid, 
	array<double>^ tGrid
)

member ComputeCoefficients : 
        numLeftBounds : int * 
        numRightBounds : int * 
        pdeBounds : FeynmanKacIBoundaries * 
        xGrid : float[] * 
        tGrid : float[] -> unit

Parameters

numLeftBounds: Type: SystemInt32
An int scalar, the number of left boundary conditions. It is required that
1 $\le$ numLeftBounds $\le$ 3.
numRightBounds: Type: SystemInt32
An int scalar, the number of right boundary conditions. It is required that
1 $\le$ numRightBounds $\le$ 3.
pdeBounds: Type: Imsl.MathFeynmanKacIBoundaries
Implementation of interface IBoundaries that computes the boundary coefficients and terminal condition for given (t,x).
xGrid: Type: SystemDouble
A double array containing the breakpoints for the Hermite quintic splines used in the x discretization. The length of xGrid must be at least 2, xGrid.Length $\ge$ 2, and the elements in xGrid must be in strictly increasing order.
tGrid: Type: SystemDouble
A double array containing the set of time points (in time-remaining units) where an approximate solution is returned. The elements in array tGrid must be positive and in strictly increasing order.

Exceptions

Exception	Condition
ToleranceTooSmallException	is thrown if the absolute or relative error tolerances used in the integrator are too small.
TooManyStepsException	is thrown if the integrator needs too many iteration steps.
ErrorTestException	is thrown if the error test used in the integrator failed repeatedly.
CorrectorConvergenceException	is thrown if the corrector failed to converge repeatedly.
IterationMatrixSingularException	is thrown if one of the iteration matrices used in the integrator is singular.
TimeIntervalTooSmallException	is thrown if the distance between an intermediate starting and end point for the integration is too small.
TcurrentTstopInconsistentException	is thrown if during the integration the current integration time and given stepsize is inconsistent with the endpoint of the integration.
TEqualsToutException	is thrown if during the integration process the actual integration time and the end time of the integration are identical.
InitialConstraintsException	is thrown if at the initial integration point some of the constraints are inconsistent.
ConstraintsInconsistentException	is thrown if during the integration process the constraints for the actual time point and given stepsize are inconsistent.
SingularMatrixException	is thrown if one of the matrices used outside the integrator is singular.
BoundaryInconsistentException	is thrown if the boundary conditions are inconsistent.

Reference

FeynmanKac Class

Imsl.Math Namespace