Interface FiniteDifferenceEquityEventProduct

All Superinterfaces:

FiniteDifferenceEquityProduct, FiniteDifferenceProduct<FiniteDifferenceEquityModel>, Product

All Known Implementing Classes:

BarrierOption, DigitalBarrierOption, DoubleBarrierBinaryOption, DoubleBarrierOption, TouchOption

public interface FiniteDifferenceEquityEventProduct
extends FiniteDifferenceEquityProduct

Equity finite-difference products with vector-level event conditions.

Event times are running times t at which the backward induction first computes the continuation value V(t+,x) and then applies a jump/event rule to obtain V(t-,x).

Author:

Alessandro Gnoatto

Method Summary

Modifier and Type	Method	Description
default double[]	applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceEquityModel model)	Performs the operation.
default double[]	getEventTimes()	Returns the value.

Methods inherited from interface FiniteDifferenceEquityProduct

getModelClass

Methods inherited from interface FiniteDifferenceProduct

getValue, getValue, getValues

Methods inherited from interface Product

getValues

Method Details

getEventTimes

default double[] getEventTimes()

Returns the value.

Returns:

The value.

applyEventCondition

default double[] applyEventCondition(double time,
 double[] valuesAfterEvent,
 FiniteDifferenceEquityModel model)

Performs the operation.

Parameters:

time - The value.

valuesAfterEvent - The value.

model - The value.

Returns:

The value.