Interface FiniteDifferenceInternalStateConstraint

All Known Subinterfaces:
FiniteDifferenceConstrainedProduct
All Known Implementing Classes:
BarrierOption, DigitalBarrierOption, DoubleBarrierBinaryOption, DoubleBarrierOption, TouchOption
public interface FiniteDifferenceInternalStateConstraint
Optional product-side internal state constraint for finite-difference solvers.

This interface is intended for products whose value is constrained not only at the outer PDE boundaries, but also on an internal subset of the state space. Typical examples are barrier options, where nodes beyond the barrier are knocked out and must be assigned a prescribed value.

The solver may query this interface at each grid node and time step:

Time is given in running time, consistently with the boundary framework.

Author:
Alessandro Gnoatto

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    getConstrainedValue(double time, double... stateVariables)
    Returns the value to impose at a constrained node.
    boolean
    isConstraintActive(double time, double... stateVariables)
    Returns true if the internal constraint is active at the given node and time.

  • Method Details

    • isConstraintActive

      boolean isConstraintActive(double time, double... stateVariables)
      Returns true if the internal constraint is active at the given node and time.
      Parameters:
      time - Running time.
      stateVariables - State variables at the grid node.
      Returns:
      True if the node is constrained.

    • getConstrainedValue

      double getConstrainedValue(double time, double... stateVariables)
      Returns the value to impose at a constrained node.

      This method is called only if isConstraintActive(double, double...) returns true.

      Parameters:
      time - Running time.
      stateVariables - State variables at the grid node.
      Returns:
      The constrained value.