Class ActivatedBarrierTrace2D

java.lang.Object

net.finmath.finitedifference.solvers.adi.ActivatedBarrierTrace2D

public final class ActivatedBarrierTrace2D
extends Object

Immutable container for the activated post-hit value traced along the barrier as a function of the second state variable and time.

The intended usage is the direct 2D knock-in formulation: first solve the activated vanilla problem, then extract its value on the barrier and use that trace as interface data for the pre-hit PDE.

The data layout is values[secondIndex][timeIndex].

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
ActivatedBarrierTrace2D(double barrierValue, double[] secondStateGrid, TimeDiscretization timeGrid, double[][] values)	Creates an immutable barrier trace container.

Method Summary

Modifier and Type	Method	Description
double	getBarrierValue()	Returns the barrier level.
int	getNumberOfSecondStatePoints()	Returns the number of second-state rows.
int	getNumberOfTimePoints()	Returns the number of time nodes.
double[]	getSecondStateGrid()	Returns a defensive copy of the second-state grid.
TimeDiscretization	getTimeGrid()	Returns the time grid.
double	getValue(int secondIndex, double tau)	Returns the trace value for a given second-state row and time.
double	getValue(int secondIndex, int timeIndex)	Returns the stored value for a given second-state row and time index.
double[][]	getValues()	Returns a defensive deep copy of the stored trace values.

Methods inherited from class Object

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

Constructor Details

ActivatedBarrierTrace2D

public ActivatedBarrierTrace2D(double barrierValue,
 double[] secondStateGrid,
 TimeDiscretization timeGrid,
 double[][] values)

Creates an immutable barrier trace container.

Parameters:

barrierValue - The barrier level in the first state variable.

secondStateGrid - The grid of the second state variable.

timeGrid - The time discretization corresponding to the trace values.

values - Trace values with layout values[secondIndex][timeIndex].

Method Details

getBarrierValue

public double getBarrierValue()

Returns the barrier level.

Returns:

The barrier value.

getSecondStateGrid

public double[] getSecondStateGrid()

Returns a defensive copy of the second-state grid.

Returns:

The second-state grid.

getTimeGrid

public TimeDiscretization getTimeGrid()

Returns the time grid.

Returns:

The time discretization.

getValues

public double[][] getValues()

Returns a defensive deep copy of the stored trace values.

Returns:

The full trace matrix with layout values[secondIndex][timeIndex].

getValue

public double getValue(int secondIndex,
 int timeIndex)

Returns the stored value for a given second-state row and time index.

Parameters:

secondIndex - The second-state index.

timeIndex - The time index.

Returns:

The trace value.

getValue

public double getValue(int secondIndex,
 double tau)

Returns the trace value for a given second-state row and time.

If tau lies exactly on a time node, that node value is returned. Otherwise linear interpolation in time is used between the enclosing nodes. Values outside the grid are clamped to the nearest endpoint.

Parameters:

secondIndex - The second-state index.

tau - The time coordinate.

Returns:

The interpolated trace value.

getNumberOfSecondStatePoints

public int getNumberOfSecondStatePoints()

Returns the number of second-state rows.

Returns:

The number of second-state grid points.

getNumberOfTimePoints

public int getNumberOfTimePoints()

Returns the number of time nodes.

Returns:

The number of time points.