Class BarrierOptionBlackScholesModelBoundary

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.boundaries.BarrierOptionBlackScholesModelBoundary

All Implemented Interfaces:

FiniteDifferenceBoundary

public class BarrierOptionBlackScholesModelBoundary
extends Object
implements FiniteDifferenceBoundary

Boundary conditions for BarrierOption under the FDMBlackScholesModel.

This class supports the explicit boundary-condition API returning BoundaryCondition objects.

Conventions:

• For knock-out options, the rebate is paid at hit, so the barrier-side boundary is pinned to the rebate.
• For knock-in options, the outer boundaries use the corresponding vanilla Black-Scholes asymptotics.
• The barrier is assumed to coincide with one spatial boundary of the grid for direct knock-out pricing: down barriers at the lower boundary, up barriers at the upper boundary.

In the direct two-state knock-in solver, the activated regime should use these vanilla asymptotic boundaries, while the inactive regime is coupled to the activated regime on the hit set.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
BarrierOptionBlackScholesModelBoundary(FDMBlackScholesModel model)	Performs the operation.

Method Summary

Modifier and Type	Method	Description
BoundaryCondition[]	getBoundaryConditionsAtLowerBoundary(FiniteDifferenceEquityProduct product, double time, double... stateVariables)	Returns the boundary conditions at the lower boundary.
BoundaryCondition[]	getBoundaryConditionsAtUpperBoundary(FiniteDifferenceEquityProduct product, double time, double... stateVariables)	Returns the boundary conditions at the upper boundary.

Methods inherited from class Object

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

Constructor Details

BarrierOptionBlackScholesModelBoundary

public BarrierOptionBlackScholesModelBoundary(FDMBlackScholesModel model)

Performs the operation.

Parameters:

model - The value.

Method Details

getBoundaryConditionsAtLowerBoundary

public BoundaryCondition[] getBoundaryConditionsAtLowerBoundary(FiniteDifferenceEquityProduct product,
 double time,
 double... stateVariables)

Description copied from interface: FiniteDifferenceBoundary

Returns the boundary conditions at the lower boundary.

The returned array is indexed by state-variable dimension.

Specified by:

getBoundaryConditionsAtLowerBoundary in interface FiniteDifferenceBoundary

Parameters:

product - The product being valued.

time - The running time.

stateVariables - The state variables specifying the boundary location.

Returns:

The lower-boundary conditions by dimension.

getBoundaryConditionsAtUpperBoundary

public BoundaryCondition[] getBoundaryConditionsAtUpperBoundary(FiniteDifferenceEquityProduct product,
 double time,
 double... stateVariables)

Description copied from interface: FiniteDifferenceBoundary

Returns the boundary conditions at the upper boundary.

The returned array is indexed by state-variable dimension.

Specified by:

getBoundaryConditionsAtUpperBoundary in interface FiniteDifferenceBoundary

Parameters:

product - The product being valued.

time - The running time.

stateVariables - The state variables specifying the boundary location.

Returns:

The upper-boundary conditions by dimension.