Class Swaption.ResolvedSwaption

java.lang.Object

net.finmath.finitedifference.interestrate.products.Swaption.ResolvedSwaption

All Implemented Interfaces:

FiniteDifferenceProduct<FiniteDifferenceInterestRateModel>, FiniteDifferenceInterestRateProduct, Product

Enclosing class:

Swaption

public final class Swaption.ResolvedSwaption
extends Object
implements FiniteDifferenceInterestRateProduct

Internal resolved product with model-resolved exercise times.

Author:

Alessandro Gnoatto

Method Summary

Modifier and Type	Method	Description
double[]	applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceInterestRateModel model)	Applies the event condition at a given event time.
double[]	getEventTimes()	Returns the event times of the product.
Swaption	getOriginalSwaption()	Returns the original outer swaption.
double[]	getValue(double evaluationTime, FiniteDifferenceInterestRateModel model)	Returns the value.
double[][]	getValues(FiniteDifferenceInterestRateModel model)	Returns the value.

Methods inherited from class Object

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

Methods inherited from interface FiniteDifferenceInterestRateProduct

getModelClass

Methods inherited from interface FiniteDifferenceProduct

getValue

Methods inherited from interface Product

getValues

Method Details

getOriginalSwaption

public Swaption getOriginalSwaption()

Returns the original outer swaption.

Returns:

The original swaption.

getEventTimes

public double[] getEventTimes()

Description copied from interface: FiniteDifferenceInterestRateProduct

Returns the event times of the product.

Event times are the dates where the backward induction may have to apply a jump or another event condition, for example because of coupon accrual, coupon payment, fixing, exercise, callability, or redemption.

Products without intermediate events may return an empty array.

Specified by:

getEventTimes in interface FiniteDifferenceInterestRateProduct

Returns:

The event times of the product.

applyEventCondition

public double[] applyEventCondition(double time,
 double[] valuesAfterEvent,
 FiniteDifferenceInterestRateModel model)

Description copied from interface: FiniteDifferenceInterestRateProduct

Applies the event condition at a given event time.

The input array valuesAfterEvent represents the continuation values immediately after the event time, that is

V(t^{+},x).

The returned array represents the values immediately before the event time, that is

V(t^{-},x).

The ordering of the entries must match the state-space ordering of the underlying finite-difference model.

The default implementation leaves the continuation values unchanged.

Specified by:

applyEventCondition in interface FiniteDifferenceInterestRateProduct

Parameters:

time - The event time.

valuesAfterEvent - The continuation values immediately after the event.

model - The finite-difference interest-rate model.

Returns:

The values immediately before the event.

getValue

public double[] getValue(double evaluationTime,
 FiniteDifferenceInterestRateModel model)

Description copied from interface: FiniteDifferenceProduct

Returns the value.

Specified by:

getValue in interface FiniteDifferenceProduct<FiniteDifferenceInterestRateModel>

Parameters:

evaluationTime - The value.

model - The value.

Returns:

The value.

getValues

public double[][] getValues(FiniteDifferenceInterestRateModel model)

Description copied from interface: FiniteDifferenceProduct

Returns the value.

Specified by:

getValues in interface FiniteDifferenceProduct<FiniteDifferenceInterestRateModel>

Parameters:

model - The value.

Returns:

The value.