Class DigitalBasketOptionMultiAssetBlackScholesModelBoundary

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.boundaries.DigitalBasketOptionMultiAssetBlackScholesModelBoundary

All Implemented Interfaces:

FiniteDifferenceBoundary

public class DigitalBasketOptionMultiAssetBlackScholesModelBoundary
extends Object
implements FiniteDifferenceBoundary

Boundary conditions for DigitalBasketOption under FDMMultiAssetBlackScholesModel.

The class covers the three digital payoff families supported by DigitalBasketOption:

• linear-combination digital,
• best-of digital,
• worst-of digital.

The lower-face reductions are exact and therefore this class requires both asset grids to start at zero.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
DigitalBasketOptionMultiAssetBlackScholesModelBoundary(FDMMultiAssetBlackScholesModel model)	Creates the boundary class.

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

DigitalBasketOptionMultiAssetBlackScholesModelBoundary

public DigitalBasketOptionMultiAssetBlackScholesModelBoundary(FDMMultiAssetBlackScholesModel model)

Creates the boundary class.

Parameters:

model - The underlying finite-difference model.

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.