org.jquantlib.math

Class PdeShortRate

java.lang.Object

org.jquantlib.methods.finitedifferences.PdeSecondOrderParabolic

org.jquantlib.math.PdeShortRate

All Implemented Interfaces:

Pde

public class PdeShortRate
extends PdeSecondOrderParabolic

Constructor Summary

Constructors

Constructor and Description
PdeShortRate()

Method Summary

Modifier and Type	Method and Description
double	diffusion(double t, double x)
double	discount(double t, double x)
double	drift(double t, double x)

Methods inherited from class org.jquantlib.methods.finitedifferences.PdeSecondOrderParabolic

applyGridType, generateOperator

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

PdeShortRate

public PdeShortRate()

Method Detail

diffusion

public double diffusion(double t,
                        double x)

discount

public double discount(double t,
                       double x)

drift

public double drift(double t,
                    double x)