Uses of Enum
net.finmath.montecarlo.assetderivativevaluation.products.BermudanOption.ExerciseMethod
Package
Description
Products which may be valued using an
AssetModelMonteCarloSimulationModel
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Uses of BermudanOption.ExerciseMethod in net.finmath.montecarlo.assetderivativevaluation.products
Modifier and TypeMethodDescriptionReturns the enum constant of this type with the specified name.static BermudanOption.ExerciseMethod[]
BermudanOption.ExerciseMethod.values()
Returns an array containing the constants of this enum type, in the order they are declared.ModifierConstructorDescriptionBermudanOption
(double[] exerciseDates, double[] notionals, double[] strikes, BermudanOption.ExerciseMethod exerciseMethod) Create a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.BermudanOption
(double[] exerciseDates, double[] notionals, double[] strikes, BermudanOption.ExerciseMethod exerciseMethod, int numberOfBasisFunctions, boolean intrinsicValueAsBasisFunction, boolean useBinning) Create a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.