Class DigitalOptionSabrModelBoundary

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.boundaries.DigitalOptionSabrModelBoundary

All Implemented Interfaces:

FiniteDifferenceBoundary

public class DigitalOptionSabrModelBoundary
extends Object
implements FiniteDifferenceBoundary

Boundary conditions for DigitalOption under the FDMSabrModel.

The boundary asymptotics depend on the exercise style:

• European exercise: discounted continuation asymptotics.
• Bermudan / American exercise: early-exercise asymptotics.

As in the existing two-dimensional equity boundaries, the digital asymptotics are imposed only in the asset direction. In the volatility direction, no explicit boundary condition is imposed.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
DigitalOptionSabrModelBoundary(FDMSabrModel model)	Creates the boundary condition associated with a given FDMSabrModel.

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

DigitalOptionSabrModelBoundary

public DigitalOptionSabrModelBoundary(FDMSabrModel model)

Creates the boundary condition associated with a given FDMSabrModel.

Parameters:

model - The SABR model used to determine risk-free and dividend discount factors.

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.