Class BondHullWhiteModelBoundary

java.lang.Object

net.finmath.finitedifference.interestrate.boundaries.BondHullWhiteModelBoundary

All Implemented Interfaces:

FiniteDifferenceInterestRateBoundary

public class BondHullWhiteModelBoundary
extends Object
implements FiniteDifferenceInterestRateBoundary

Exact boundary conditions for Bond under FDMHullWhiteModel.

Since the reduced-scope Bond product consists only of deterministic fixed cashflows, its value under Hull-White is known exactly as

V(t,x) = \sum_{i:\,T_i \ge t} C_i P(t,T_i;x),

where C_i are the remaining deterministic bond cashflows and P(t,T_i;x) is the model discount bond conditional on the current state variable x.

Hence both lower and upper boundaries can be imposed by exact Dirichlet conditions.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
BondHullWhiteModelBoundary(FDMHullWhiteModel model)	Creates the exact Hull-White boundary for deterministic-cashflow bonds.

Method Summary

Modifier and Type	Method	Description
BoundaryCondition[]	getBoundaryConditionsAtLowerBoundary(FiniteDifferenceInterestRateProduct product, double time, double... stateVariables)	Returns the boundary conditions at the lower boundary.
BoundaryCondition[]	getBoundaryConditionsAtUpperBoundary(FiniteDifferenceInterestRateProduct 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

BondHullWhiteModelBoundary

public BondHullWhiteModelBoundary(FDMHullWhiteModel model)

Creates the exact Hull-White boundary for deterministic-cashflow bonds.

Parameters:

model - The Hull-White model.

Method Details

getBoundaryConditionsAtLowerBoundary

public BoundaryCondition[] getBoundaryConditionsAtLowerBoundary(FiniteDifferenceInterestRateProduct product,
 double time,
 double... stateVariables)

Description copied from interface: FiniteDifferenceInterestRateBoundary

Returns the boundary conditions at the lower boundary.

Specified by:

getBoundaryConditionsAtLowerBoundary in interface FiniteDifferenceInterestRateBoundary

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(FiniteDifferenceInterestRateProduct product,
 double time,
 double... stateVariables)

Description copied from interface: FiniteDifferenceInterestRateBoundary

Returns the boundary conditions at the upper boundary.

Specified by:

getBoundaryConditionsAtUpperBoundary in interface FiniteDifferenceInterestRateBoundary

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.