Interface TwoStateActiveBoundaryProvider

public interface TwoStateActiveBoundaryProvider
Provides the outer boundary values for the active regime in a two-state knock-in finite difference solver.

The active regime represents the post-activation value, that is, the value of the corresponding vanilla contract after the barrier event has occurred. Implementations of this interface define the boundary conditions at the lower and upper ends of the spatial grid for that active regime.

The boundary values depend on the evaluation time and on the corresponding boundary state variable.

Author:
Alessandro Gnoatto

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    getLowerBoundaryValue(double time, double stateVariable)
    Returns the boundary value at the lower spatial boundary for the active regime.
    double
    getUpperBoundaryValue(double time, double stateVariable)
    Returns the boundary value at the upper spatial boundary for the active regime.

  • Method Details

    • getLowerBoundaryValue

      double getLowerBoundaryValue(double time, double stateVariable)
      Returns the boundary value at the lower spatial boundary for the active regime.
      Parameters:
      time - The evaluation time.
      stateVariable - The state variable at the lower boundary.
      Returns:
      The boundary value at the lower boundary in the active regime.

    • getUpperBoundaryValue

      double getUpperBoundaryValue(double time, double stateVariable)
      Returns the boundary value at the upper spatial boundary for the active regime.
      Parameters:
      time - The evaluation time.
      stateVariable - The state variable at the upper boundary.
      Returns:
      The boundary value at the upper boundary in the active regime.