Class BachelierActiveBoundaryProvider

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.boundaries.BachelierActiveBoundaryProvider

All Implemented Interfaces:

TwoStateActiveBoundaryProvider

public class BachelierActiveBoundaryProvider
extends Object
implements TwoStateActiveBoundaryProvider

Active-state outer boundary provider for the direct two-state knock-in solver under a Bachelier-type equity model.

The active state represents the post-activation value, i.e. the corresponding vanilla European option after the barrier has been hit.

Boundary conventions:

• Lower boundary:
  • call: 0
  • put: K exp(-r(T-t))
• Upper boundary:
  • call: S - K exp(-r(T-t))
  • put: 0

Constructor Summary

Constructors

Constructor	Description
BachelierActiveBoundaryProvider(FiniteDifferenceEquityModel model, double strike, double maturity, CallOrPut callOrPut)	Performs the operation.

Method Summary

Modifier and Type	Method	Description
double	getLowerBoundaryValue(double time, double stateVariable)	Returns the boundary value at the lower spatial boundary for the active regime.
double	getUpperBoundaryValue(double time, double stateVariable)	Returns the boundary value at the upper spatial boundary for the active regime.

Methods inherited from class Object

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

Constructor Details

BachelierActiveBoundaryProvider

public BachelierActiveBoundaryProvider(FiniteDifferenceEquityModel model,
 double strike,
 double maturity,
 CallOrPut callOrPut)

Performs the operation.

Parameters:

model - The value.

strike - The value.

maturity - The value.

callOrPut - The value.

Method Details

getLowerBoundaryValue

public double getLowerBoundaryValue(double time,
 double stateVariable)

Description copied from interface: TwoStateActiveBoundaryProvider

Returns the boundary value at the lower spatial boundary for the active regime.

Specified by:

getLowerBoundaryValue in interface TwoStateActiveBoundaryProvider

Parameters:

time - The evaluation time.

stateVariable - The state variable at the lower boundary.

Returns:

The boundary value at the lower boundary in the active regime.

getUpperBoundaryValue

public double getUpperBoundaryValue(double time,
 double stateVariable)

Description copied from interface: TwoStateActiveBoundaryProvider

Returns the boundary value at the upper spatial boundary for the active regime.

Specified by:

getUpperBoundaryValue in interface TwoStateActiveBoundaryProvider

Parameters:

time - The evaluation time.

stateVariable - The state variable at the upper boundary.

Returns:

The boundary value at the upper boundary in the active regime.