Class AmericanExercise

java.lang.Object
net.finmath.modelling.AbstractExercise
net.finmath.modelling.AmericanExercise
All Implemented Interfaces:
Exercise
public class AmericanExercise extends AbstractExercise
American exercise: continuous exercise on an interval.

The standard case is exercise from time 0 to maturity, but a later exercise start time can also be specified.

Author:
Alessandro Gnoatto

  • Constructor Details

    • AmericanExercise

      public AmericanExercise(double maturity)
      Creates a standard American exercise from time 0 to maturity.
      Parameters:
      maturity - The maturity.

    • AmericanExercise

      public AmericanExercise(double exerciseStartTime, double maturity)
      Creates an American exercise on the interval [exerciseStartTime, maturity].
      Parameters:
      exerciseStartTime - The first time at which exercise is allowed.
      maturity - The maturity.

    • AmericanExercise

      public AmericanExercise(LocalDate referenceDate, LocalDate maturityDate)
      Creates a standard American exercise from dates.
      Parameters:
      referenceDate - The reference date.
      maturityDate - The maturity date.

    • AmericanExercise

      public AmericanExercise(LocalDate referenceDate, LocalDate exerciseStartDate, LocalDate maturityDate)
      Creates an American exercise window from dates.
      Parameters:
      referenceDate - The reference date.
      exerciseStartDate - The first exercise date.
      maturityDate - The maturity date.

  • Method Details

    • getExerciseStartTime

      public double getExerciseStartTime()
      Returns the first time at which exercise is allowed.
      Returns:
      The exercise start time.

    • isContinuousExercise

      public boolean isContinuousExercise()
      Description copied from interface: Exercise
      Returns whether exercise is allowed continuously in time.
      Returns:
      True if the exercise right is continuous in time.

    • isExerciseAllowed

      public boolean isExerciseAllowed(double time)
      Description copied from interface: Exercise
      Returns whether exercise is allowed at the given running time.

      This method is interpreted in contractual terms, not in numerical-grid terms. For Bermudan exercise it checks whether the given time matches one of the scheduled exercise times (up to a small tolerance). For American exercise it checks whether the time lies inside the exercise interval.

      Parameters:
      time - The running time.
      Returns:
      True if exercise is allowed.

    • isEuropean

      public boolean isEuropean()
      Description copied from interface: Exercise
      Returns true if this is European exercise.
      Returns:
      True if European.

    • isAmerican

      public boolean isAmerican()
      Description copied from interface: Exercise
      Returns true if this is American exercise.
      Returns:
      True if American.

    • isBermudan

      public boolean isBermudan()
      Description copied from interface: Exercise
      Returns true if this is Bermudan exercise.
      Returns:
      True if Bermudan.