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: 6.5.0.0

Syntax

C#
public void ComputeCoefficients(
	int numLeftBounds,
	int numRightBounds,
	FeynmanKac..::.IBoundaries pdeBounds,
	double[] xGrid,
	double[] tGrid
)
Visual Basic (Declaration)
Public Sub ComputeCoefficients ( _
	numLeftBounds As Integer, _
	numRightBounds As Integer, _
	pdeBounds As FeynmanKac..::.IBoundaries, _
	xGrid As Double(), _
	tGrid As Double() _
)
Visual C++
public:
void ComputeCoefficients(
	int numLeftBounds, 
	int numRightBounds, 
	FeynmanKac..::.IBoundaries^ pdeBounds, 
	array<double>^ xGrid, 
	array<double>^ tGrid
)

Parameters

numLeftBounds
Type: System..::.Int32
An int scalar, the number of left boundary conditions. It is required that

1\lenumLeftBounds\le3.

numRightBounds
Type: System..::.Int32
An int scalar, the number of right boundary conditions. It is required that

1\lenumRightBounds\le3.

pdeBounds
Type: Imsl.Math..::.FeynmanKac..::.IBoundaries
Implementation of interface IBoundaries that computes the boundary coefficients and terminal condition for given (t,x).
xGrid
Type: array< System..::.Double >[]()[]
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: array< System..::.Double >[]()[]
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

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

See Also