Class BermudanOption

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.products.BermudanOption

All Implemented Interfaces:

FiniteDifferenceEquityProduct, FiniteDifferenceProduct<FiniteDifferenceEquityModel>, Product

public class BermudanOption
extends Object
implements FiniteDifferenceEquityProduct

Finite difference valuation of a Bermudan option on a single asset.

Exercise times are specified in running time and converted internally to the solver's time-to-maturity coordinates through FiniteDifferenceExerciseUtil.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
BermudanOption(double[] exerciseTimes, double strike, double callOrPutSign)	Performs the operation.
BermudanOption(double[] exerciseTimes, double strike, CallOrPut callOrPutSign)	Performs the operation.
BermudanOption(String underlyingName, double[] exerciseTimes, double strike, double callOrPutSign)	Performs the operation.
BermudanOption(String underlyingName, double[] exerciseTimes, double strike, CallOrPut callOrPutSign)	Performs the operation.

Method Summary

Modifier and Type	Method	Description
CallOrPut	getCallOrPut()	Returns the value.
Exercise	getExercise()	Returns the value.
double	getMaturity()	Returns the value.
double	getStrike()	Returns the value.
String	getUnderlyingName()	Returns the value.
double[]	getValue(double evaluationTime, FiniteDifferenceEquityModel model)	Returns the value.
double[][]	getValues(FiniteDifferenceEquityModel model)	Returns the value.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface FiniteDifferenceEquityProduct

getModelClass

Methods inherited from interface FiniteDifferenceProduct

getValue

Methods inherited from interface Product

getValues

Constructor Details

BermudanOption

public BermudanOption(String underlyingName,
 double[] exerciseTimes,
 double strike,
 double callOrPutSign)

Performs the operation.

Parameters:

underlyingName - The value.

exerciseTimes - The value.

strike - The value.

callOrPutSign - The value.

BermudanOption

public BermudanOption(String underlyingName,
 double[] exerciseTimes,
 double strike,
 CallOrPut callOrPutSign)

Performs the operation.

Parameters:

underlyingName - The value.

exerciseTimes - The value.

strike - The value.

callOrPutSign - The value.

BermudanOption

public BermudanOption(double[] exerciseTimes,
 double strike,
 double callOrPutSign)

Performs the operation.

Parameters:

exerciseTimes - The value.

strike - The value.

callOrPutSign - The value.

BermudanOption

public BermudanOption(double[] exerciseTimes,
 double strike,
 CallOrPut callOrPutSign)

Performs the operation.

Parameters:

exerciseTimes - The value.

strike - The value.

callOrPutSign - The value.

Method Details

getValue

public double[] getValue(double evaluationTime,
 FiniteDifferenceEquityModel model)

Description copied from interface: FiniteDifferenceProduct

Returns the value.

Specified by:

getValue in interface FiniteDifferenceProduct<FiniteDifferenceEquityModel>

Parameters:

evaluationTime - The value.

model - The value.

Returns:

The value.

getValues

public double[][] getValues(FiniteDifferenceEquityModel model)

Description copied from interface: FiniteDifferenceProduct

Returns the value.

Specified by:

getValues in interface FiniteDifferenceProduct<FiniteDifferenceEquityModel>

Parameters:

model - The value.

Returns:

The value.

getUnderlyingName

public String getUnderlyingName()

Returns the value.

Returns:

The value.

getMaturity

public double getMaturity()

Returns the value.

Returns:

The value.

getStrike

public double getStrike()

Returns the value.

Returns:

The value.

getCallOrPut

public CallOrPut getCallOrPut()

Returns the value.

Returns:

The value.

getExercise

public Exercise getExercise()

Returns the value.

Returns:

The value.