Class BarrierOptionSabrModelBoundary

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.boundaries.BarrierOptionSabrModelBoundary

All Implemented Interfaces:

FiniteDifferenceBoundary

public class BarrierOptionSabrModelBoundary
extends Object
implements FiniteDifferenceBoundary

Boundary conditions for BarrierOption under the FDMSabrModel.

State variables are assumed to be (S, alpha), where S is the asset level and alpha the stochastic volatility factor. For knock-out options, Dirichlet conditions are imposed on the barrier side in the asset direction. Volatility-direction boundaries are left untouched via StandardBoundaryCondition.none().

The barrier is assumed to coincide with the lower or upper boundary of the asset grid. In-options may still be handled elsewhere by the product logic.

This version uses grid-aware continuation-side spot boundary values, with two targeted exceptions:

• for UP_OUT CALL at the lower spot boundary, use none() instead of a hard zero,
• for DOWN_OUT PUT at the upper spot boundary, use none() instead of a hard zero.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
BarrierOptionSabrModelBoundary(FDMSabrModel 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

BarrierOptionSabrModelBoundary

public BarrierOptionSabrModelBoundary(FDMSabrModel 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.