Class DoubleBarrierBinaryOptionSabrModelBoundary

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.boundaries.DoubleBarrierBinaryOptionSabrModelBoundary

All Implemented Interfaces:

FiniteDifferenceBoundary

public class DoubleBarrierBinaryOptionSabrModelBoundary
extends Object
implements FiniteDifferenceBoundary

Boundary conditions for DoubleBarrierBinaryOption under FDMSabrModel.

State variables are assumed to be (S, alpha), where S is the asset level and alpha the stochastic volatility factor.

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

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
DoubleBarrierBinaryOptionSabrModelBoundary(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

DoubleBarrierBinaryOptionSabrModelBoundary

public DoubleBarrierBinaryOptionSabrModelBoundary(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.