Class DoubleBarrierBinaryOptionHestonModelBoundary

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.boundaries.DoubleBarrierBinaryOptionHestonModelBoundary

All Implemented Interfaces:

FiniteDifferenceBoundary

public class DoubleBarrierBinaryOptionHestonModelBoundary
extends Object
implements FiniteDifferenceBoundary

Boundary conditions for DoubleBarrierBinaryOption under FDMHestonModel.

State variables are assumed to be (S, v), where S is the asset level and v the variance.

The double barriers are enforced internally by the product through state constraints. Therefore, the outer-domain spot boundaries represent the already-triggered state outside the barrier band:

• KNOCK_OUT: zero on both sides,
• KNOCK_IN: discounted cash on both sides,
• KIKO: discounted cash at the lower side, zero at the upper side,
• KOKI: zero at the lower side, discounted cash at the upper side.

The variance-direction boundaries are left free via StandardBoundaryCondition.none().

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
DoubleBarrierBinaryOptionHestonModelBoundary(FDMHestonModel 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

DoubleBarrierBinaryOptionHestonModelBoundary

public DoubleBarrierBinaryOptionHestonModelBoundary(FDMHestonModel 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.