Class GridWithMandatoryPoint

java.lang.Object

net.finmath.finitedifference.grids.AbstractGrid

net.finmath.finitedifference.grids.GridWithMandatoryPoint

All Implemented Interfaces:

Grid

public class GridWithMandatoryPoint
extends AbstractGrid

Piecewise-uniform grid on [minimumValue, maximumValue] with one mandatory interior node.

The interval is split into two sub-intervals:

• [minimumValue, mandatoryPoint]
• [mandatoryPoint, maximumValue]

On each side, nodes are distributed uniformly. The mandatory point is forced to be an exact grid node, while the lower and upper bounds are preserved.

This is useful for finite-difference pricing of products with a payoff discontinuity or kink at a known location, for example digitals with discontinuity at the strike.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
GridWithMandatoryPoint(int numberOfSteps, double minimumValue, double maximumValue, double mandatoryPoint)	Creates a grid with one mandatory interior node.

Method Summary

Modifier and Type	Method	Description
static int	findMandatoryIndex(double[] grid, double mandatoryPoint)	Finds the index of a mandatory point in a previously generated grid.
static int	findMandatoryIndex(Grid grid, double mandatoryPoint)	Convenience overload.
double[]	getDelta(double[] vector)	Returns the spacing between consecutive grid points.
double[]	getGrid()	Returns the grid points, generating them if necessary.
int	getMandatoryIndex()	Returns the node index corresponding to the mandatory point.
double	getMandatoryPoint()	Returns the mandatory point.

Methods inherited from class AbstractGrid

getInteriorGrid

Methods inherited from class Object

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

Constructor Details

GridWithMandatoryPoint

public GridWithMandatoryPoint(int numberOfSteps,
 double minimumValue,
 double maximumValue,
 double mandatoryPoint)

Creates a grid with one mandatory interior node.

Parameters:

numberOfSteps - Number of grid intervals.

minimumValue - Lower grid boundary.

maximumValue - Upper grid boundary.

mandatoryPoint - Point that must appear exactly as a grid node.

Method Details

getGrid

public double[] getGrid()

Returns the grid points, generating them if necessary.

Returns:

The grid points.

getDelta

public double[] getDelta(double[] vector)

Returns the spacing between consecutive grid points.

Parameters:

vector - Array of values at grid points, usually the grid itself.

Returns:

The spacing array.

getMandatoryPoint

public double getMandatoryPoint()

Returns the mandatory point.

Returns:

The mandatory point.

getMandatoryIndex

public int getMandatoryIndex()

Returns the node index corresponding to the mandatory point.

Returns:

The mandatory node index.

findMandatoryIndex

public static int findMandatoryIndex(double[] grid,
 double mandatoryPoint)

Finds the index of a mandatory point in a previously generated grid.

Parameters:

grid - The grid array.

mandatoryPoint - The mandatory point.

Returns:

The index of the mandatory point.

findMandatoryIndex

public static int findMandatoryIndex(Grid grid,
 double mandatoryPoint)

Convenience overload.

Parameters:

grid - The grid.

mandatoryPoint - The mandatory point.

Returns:

The index of the mandatory point.