Class BermudanExercise

java.lang.Object
net.finmath.modelling.AbstractExercise
net.finmath.modelling.BermudanExercise
All Implemented Interfaces:
Exercise
public class BermudanExercise extends AbstractExercise
Bermudan exercise: exercise allowed only on a finite set of dates.
Author:
Alessandro Gnoatto

  • Constructor Details

    • BermudanExercise

      public BermudanExercise(double[] exerciseTimes)
      Creates a Bermudan exercise from running times.
      Parameters:
      exerciseTimes - The exercise times in running time.

    • BermudanExercise

      public BermudanExercise(LocalDate referenceDate, LocalDate[] exerciseDates)
      Creates a Bermudan exercise from dates.
      Parameters:
      referenceDate - The reference date.
      exerciseDates - The exercise dates.

  • Method Details

    • 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.