Module net.finmath.lib
Package net.finmath.montecarlo.process.component.barrier

Interface Barrier

All Known Implementing Classes:
EuropeanOptionWithBoundary.ConstantBarrier
public interface Barrier
The interface describes how an barrier has to be specified for the generation of a process (see LogNormalProcessWithBarrierStrategy).
Since:
finmath-lib 4.1.0
Version:
1.0
Author:
Christian Fries

  • Method Details

    • getBarrierDirection

      RandomVariableFromDoubleArray[] getBarrierDirection(int timeIndex, RandomVariable[] randomVariable)
      The barrier direction, i.e. a (stochastic) projection vector for the components)
      Parameters:
      timeIndex - Time index associated with the model time discretization.
      randomVariable - Model process realization at timeIndex.
      Returns:
      Direction of barrier.

    • getBarrierLevel

      RandomVariable getBarrierLevel(int timeIndex, RandomVariable[] randomVariable) throws CalculationException
      The barrier level
      Parameters:
      timeIndex - Time index associated with the model time discretization.
      randomVariable - Model process realization at timeIndex.
      Returns:
      Level of barrier.
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • isUpperBarrier

      boolean isUpperBarrier()
      Returns:
      Returns true, if the barrier is an upper barrier. Returns false, if the barrier is an lower barrier.