Class ResolvedSwaptionHullWhiteModelBoundary

java.lang.Object

net.finmath.finitedifference.interestrate.boundaries.ResolvedSwaptionHullWhiteModelBoundary

All Implemented Interfaces:

FiniteDifferenceInterestRateBoundary

public class ResolvedSwaptionHullWhiteModelBoundary
extends Object
implements FiniteDifferenceInterestRateBoundary

Boundary wrapper for Swaption.ResolvedSwaption under FDMHullWhiteModel.

The internal product Swaption.ResolvedSwaption is only an adapter used to resolve exercise dates and event conditions. Boundary conditions should still be taken from the original outer Swaption.

This wrapper allows the boundary factory to keep using the runtime product class name while delegating all boundary logic to SwaptionHullWhiteModelBoundary.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
ResolvedSwaptionHullWhiteModelBoundary(FDMHullWhiteModel model)	Creates the boundary wrapper.

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

ResolvedSwaptionHullWhiteModelBoundary

public ResolvedSwaptionHullWhiteModelBoundary(FDMHullWhiteModel model)

Creates the boundary wrapper.

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.