Class BarrierPreHitSpecification

java.lang.Object

net.finmath.finitedifference.solvers.adi.BarrierPreHitSpecification

public final class BarrierPreHitSpecification
extends Object

Immutable specification for the pre-hit continuation PDE used in the direct 2D knock-in formulation.

The pre-hit PDE is solved only on the continuation side of the barrier. The barrier itself is represented by a spot-side interface row carrying the activated trace.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
BarrierPreHitSpecification(BarrierType barrierType, double barrierValue, int barrierSpotIndex, double spotMin, double spotMax, int numberOfSpotSteps, ActivatedBarrierTrace2D activatedTrace)	Creates the pre-hit PDE specification.

Method Summary

Modifier and Type	Method	Description
ActivatedBarrierTrace2D	getActivatedTrace()	Returns the activated trace prescribed on the barrier.
int	getBarrierSpotIndex()	Returns the barrier node index on the pre-hit spot grid.
BarrierType	getBarrierType()	Returns the knock-in barrier type.
double	getBarrierValue()	Returns the barrier level.
int	getNumberOfSpotSteps()	Returns the number of spot steps of the pre-hit uniform grid.
double	getSpotMax()	Returns the upper bound of the pre-hit spot domain.
double	getSpotMin()	Returns the lower bound of the pre-hit spot domain.
double	getSpotStepSize()	Returns the implied uniform spot step size.
boolean	isDownIn()	Returns true if the pre-hit domain corresponds to a down-in option.
boolean	isUpIn()	Returns true if the pre-hit domain corresponds to an up-in option.

Methods inherited from class Object

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

Constructor Details

BarrierPreHitSpecification

public BarrierPreHitSpecification(BarrierType barrierType,
 double barrierValue,
 int barrierSpotIndex,
 double spotMin,
 double spotMax,
 int numberOfSpotSteps,
 ActivatedBarrierTrace2D activatedTrace)

Creates the pre-hit PDE specification.

Parameters:

barrierType - The barrier type. Only DOWN_IN and UP_IN are valid here.

barrierValue - The barrier level.

barrierSpotIndex - The spot-grid index corresponding to the barrier node on the pre-hit auxiliary grid.

spotMin - The lower bound of the pre-hit spot grid.

spotMax - The upper bound of the pre-hit spot grid.

numberOfSpotSteps - The number of uniform spot steps.

activatedTrace - The activated post-hit trace prescribed on the barrier.

Method Details

getBarrierType

public BarrierType getBarrierType()

Returns the knock-in barrier type.

Returns:

The barrier type.

getBarrierValue

public double getBarrierValue()

Returns the barrier level.

Returns:

The barrier value.

getBarrierSpotIndex

public int getBarrierSpotIndex()

Returns the barrier node index on the pre-hit spot grid.

Returns:

The barrier spot index.

getSpotMin

public double getSpotMin()

Returns the lower bound of the pre-hit spot domain.

Returns:

The lower spot bound.

getSpotMax

public double getSpotMax()

Returns the upper bound of the pre-hit spot domain.

Returns:

The upper spot bound.

getNumberOfSpotSteps

public int getNumberOfSpotSteps()

Returns the number of spot steps of the pre-hit uniform grid.

Returns:

The number of spot steps.

getActivatedTrace

public ActivatedBarrierTrace2D getActivatedTrace()

Returns the activated trace prescribed on the barrier.

Returns:

The activated barrier trace.

isDownIn

public boolean isDownIn()

Returns true if the pre-hit domain corresponds to a down-in option.

Returns:

True for down-in.

isUpIn

public boolean isUpIn()

Returns true if the pre-hit domain corresponds to an up-in option.

Returns:

True for up-in.

getSpotStepSize

public double getSpotStepSize()

Returns the implied uniform spot step size.

Returns:

The spot step size.