/** * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.model.finitedifference; /** * Solver for convection-diffusion type partial differential equations (PDEs), i.e. * $\frac{\partial f}{\partial t} + a(t,x) \frac{\partial^2 f}{\partial x^2} + b(t,x) \frac{\partial f}{\partial x} + (t,x)f = 0$ * This follows the physical convention of time starting at zero and moving * forward to some desired point tMax. For the financial convention of 'time' * starting at maturity and moving backwards to zero, simply set tMax equal to * maturity and transform the PDE to be in terms of 'time-to-maturity' */ public interface ConvectionDiffusionPDESolver extends PDE1DSolver<ConvectionDiffusionPDE1DCoefficients> { @Override PDEResults1D solve(PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> pdeData); }