Examples of DoubleExponentialMeshing

Examples of com.opengamma.analytics.financial.model.finitedifference.DoubleExponentialMeshing

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    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, payoff, lower, upper, grid);
    return (PDETerminalResults1D) getSolver().solve(db);
  }

  private MeshingFunction getTimeMesh(final double maxTime) {
    return new DoubleExponentialMeshing(0, maxTime, maxTime / 2, _nTimeSteps, _timeMeshLambda, -_timeMeshLambda);
  }
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Examples of com.opengamma.analytics.financial.model.finitedifference.DoubleExponentialMeshing

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      lower = new DirichletBoundaryCondition(strike, 0.0);
      upper = new NeumannBoundaryCondition(0.0, maxFwd, false);
    }

    // MeshingFunction timeMesh = new ExponentialMeshing(0.0, expiry, nTimeNodes, timeMeshLambda);
    final MeshingFunction timeMesh = new DoubleExponentialMeshing(0, expiry, expiry / 2, nTimeNodes, timeMeshLambda, -timeMeshLambda);
    //keep the grid the same regardless of spot (useful for finite-difference)
    final MeshingFunction spaceMesh = new HyperbolicMeshing(0.0, maxFwd, fwdNodeCentre, nFwdNodes, spotMeshBunching);
    final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<>(pde, payoff, lower, upper, grid);
    final PDEResults1D res = solver.solve(db);
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Examples of com.opengamma.analytics.financial.model.finitedifference.DoubleExponentialMeshing

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    double xH = 1.2;
    BoundaryCondition lower = new NeumannBoundaryCondition(-1.0, xL, true);
    BoundaryCondition upper = new NeumannBoundaryCondition(0.0, xH, false);
    final MeshingFunction spaceMeshF = new HyperbolicMeshing(xL, xH, 1.0, 200, 0.001);
    final MeshingFunction timeMeshF = new ExponentialMeshing(0, t, 50, 4.0);
    final MeshingFunction timeMeshB = new DoubleExponentialMeshing(0, t, t / 2, 50, 2.0, -4.0);
    final PDEGrid1D grid = new PDEGrid1D(timeMeshF, spaceMeshF);
    PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> dbF = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(pde, initialCond, lower, upper, grid);
    PDETerminalResults1D res = (PDETerminalResults1D) solver.solve(dbF);
    final double minK = Math.exp(-6 * rootT);
    final double maxK = Math.exp(6 * rootT);
 
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