Uses of Interface
net.finmath.modelling.Exercise

Packages that use Exercise

Package	Description
net.finmath.finitedifference	Package net.finmath.finitedifference.
net.finmath.finitedifference.assetderivativevaluation.products	Package net.finmath.finitedifference.assetderivativevaluation.products.
net.finmath.finitedifference.interestrate.products	Package net.finmath.finitedifference.interestrate.products.
net.finmath.finitedifference.solvers	Package net.finmath.finitedifference.solvers.
net.finmath.finitedifference.solvers.adi	Package net.finmath.finitedifference.solvers.adi.
net.finmath.modelling	Provides interface separating models and products.

Uses of Exercise in net.finmath.finitedifference

Methods in net.finmath.finitedifference with parameters of type Exercise

Modifier and Type	Method	Description
static double	FiniteDifferenceExerciseUtil.getAmericanExerciseStartTimeToMaturity(Exercise exercise)	Convenience method returning the exercise start time in tau-coordinates for American exercise.
static double[]	FiniteDifferenceExerciseUtil.getExerciseTimesToMaturity(Exercise exercise)	Returns the exercise times in time-to-maturity coordinates.
static boolean	FiniteDifferenceExerciseUtil.isContinuousExercise(Exercise exercise)	Returns true if the exercise policy should be treated as continuous on the FD grid.
static boolean	FiniteDifferenceExerciseUtil.isDiscreteExerciseTime(double tau, Exercise exercise)	Returns true if the given tau-grid time is an actual Bermudan exercise time.
static boolean	FiniteDifferenceExerciseUtil.isExerciseAllowedAtTimeToMaturity(double tau, Exercise exercise)	Returns true if exercise is allowed at the given time-to-maturity.
static TimeDiscretization	FiniteDifferenceExerciseUtil.refineTimeDiscretization(TimeDiscretization baseTimeDiscretization, Exercise exercise)	Returns a refined time discretization that includes all Bermudan exercise dates in time-to-maturity coordinates.

Uses of Exercise in net.finmath.finitedifference.assetderivativevaluation.products

Methods in net.finmath.finitedifference.assetderivativevaluation.products that return Exercise

Modifier and Type	Method	Description
Exercise	AmericanOption.getExercise()	Returns the exercise specification.
Exercise	AsianOption.getExercise()	Returns the value.
Exercise	BarrierOption.getExercise()	Returns the value.
Exercise	BasketOption.getExercise()	Returns the exercise specification.
Exercise	BermudanOption.getExercise()	Returns the value.
Exercise	BestOfOption.getExercise()	Returns the exercise specification.
Exercise	DigitalBarrierOption.getExercise()	Returns the value.
Exercise	DigitalBasketOption.getExercise()	Returns the exercise specification.
Exercise	DigitalOption.getExercise()	Returns the exercise specification.
Exercise	DoubleBarrierBinaryOption.getExercise()	Returns the exercise specification.
Exercise	DoubleBarrierOption.getExercise()	Returns the exercise specification.
Exercise	EuropeanOption.getExercise()	Returns the exercise specification.
Exercise	TouchOption.getExercise()	Returns the value.
Exercise	WorstOfOption.getExercise()	Returns the exercise specification.

Constructors in net.finmath.finitedifference.assetderivativevaluation.products with parameters of type Exercise

Modifier	Constructor	Description
	AsianOption(String underlyingName, double maturity, double strike, CallOrPut callOrPutSign, AsianStrike asianStrike, Exercise exercise)	Performs the operation.
	BarrierOption(double maturity, double strike, double barrierValue, double rebate, double callOrPutSign, BarrierType barrierType, Exercise exercise)	Performs the operation.
	BarrierOption(double maturity, double strike, double barrierValue, double callOrPutSign, BarrierType barrierType, Exercise exercise)	Performs the operation.
	BarrierOption(double maturity, double strike, double barrierValue, double rebate, CallOrPut callOrPutSign, BarrierType barrierType, Exercise exercise)	Performs the operation.
	BarrierOption(double maturity, double strike, double barrierValue, double rebate, CallOrPut callOrPutSign, BarrierType barrierType, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Performs the operation.
	BarrierOption(String underlyingName, double maturity, double strike, double barrierValue, double rebate, double callOrPutSign, BarrierType barrierType, Exercise exercise)	Performs the operation.
	BarrierOption(String underlyingName, double maturity, double strike, double barrierValue, double rebate, double callOrPutSign, BarrierType barrierType, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Performs the operation.
	BarrierOption(String underlyingName, double maturity, double strike, double barrierValue, double rebate, CallOrPut callOrPutSign, BarrierType barrierType, Exercise exercise)	Performs the operation.
	BarrierOption(String underlyingName, double maturity, double strike, double barrierValue, double rebate, CallOrPut callOrPutSign, BarrierType barrierType, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Performs the operation.
	BarrierOption(String underlyingName, double maturity, double strike, double barrierValue, CallOrPut callOrPutSign, BarrierType barrierType, Exercise exercise)	Performs the operation.
	DigitalBarrierOption(double maturity, double strike, double barrierValue, double callOrPutSign, BarrierType barrierType, DigitalPayoffType digitalPayoffType, double cashPayoff, Exercise exercise)	Performs the operation.
	DigitalBarrierOption(double maturity, double strike, double barrierValue, double callOrPutSign, BarrierType barrierType, DigitalPayoffType digitalPayoffType, double cashPayoff, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Performs the operation.
	DigitalBarrierOption(double maturity, double strike, double barrierValue, CallOrPut callOrPutSign, BarrierType barrierType, DigitalPayoffType digitalPayoffType, double cashPayoff, Exercise exercise)	Performs the operation.
	DigitalBarrierOption(double maturity, double strike, double barrierValue, CallOrPut callOrPutSign, BarrierType barrierType, DigitalPayoffType digitalPayoffType, double cashPayoff, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Performs the operation.
	DigitalBarrierOption(String underlyingName, double maturity, double strike, double barrierValue, CallOrPut callOrPutSign, BarrierType barrierType, DigitalPayoffType digitalPayoffType, double cashPayoff, Exercise exercise)	Performs the operation.
	DigitalBarrierOption(String underlyingName, double maturity, double strike, double barrierValue, CallOrPut callOrPutSign, BarrierType barrierType, DigitalPayoffType digitalPayoffType, double cashPayoff, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Performs the operation.
	DigitalOption(double maturity, double strike, CallOrPut callOrPutSign, DigitalPayoffType digitalPayoffType, double cashPayoff, Exercise exercise)	Creates a digital option with explicit exercise specification.
	DigitalOption(String underlyingName, double maturity, double strike, double callOrPutSign, DigitalPayoffType digitalPayoffType, double cashPayoff, Exercise exercise)	Creates a digital option with explicit exercise specification.
	DigitalOption(String underlyingName, double maturity, double strike, CallOrPut callOrPutSign, DigitalPayoffType digitalPayoffType, double cashPayoff, Exercise exercise)	Creates a digital option with explicit exercise specification.
	DoubleBarrierBinaryOption(double maturity, double cashPayoff, double lowerBarrier, double upperBarrier, DoubleBarrierType doubleBarrierType, Exercise exercise)	Creates a double-barrier cash binary option with anonymous underlying.
	DoubleBarrierBinaryOption(double maturity, double cashPayoff, double lowerBarrier, double upperBarrier, DoubleBarrierType doubleBarrierType, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Creates a double-barrier cash binary option with anonymous underlying.
	DoubleBarrierBinaryOption(String underlyingName, double maturity, double cashPayoff, double lowerBarrier, double upperBarrier, DoubleBarrierType doubleBarrierType, Exercise exercise)	Creates a double-barrier cash binary option.
	DoubleBarrierBinaryOption(String underlyingName, double maturity, double cashPayoff, double lowerBarrier, double upperBarrier, DoubleBarrierType doubleBarrierType, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Creates a double-barrier cash binary option.
	DoubleBarrierOption(double maturity, double strike, double lowerBarrier, double upperBarrier, CallOrPut callOrPutSign, DoubleBarrierType doubleBarrierType, Exercise exercise)	Creates a double-barrier option with anonymous underlying.
	DoubleBarrierOption(double maturity, double strike, double lowerBarrier, double upperBarrier, CallOrPut callOrPutSign, DoubleBarrierType doubleBarrierType, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Creates a double-barrier option with anonymous underlying.
	DoubleBarrierOption(String underlyingName, double maturity, double strike, double lowerBarrier, double upperBarrier, double callOrPutSign, DoubleBarrierType doubleBarrierType, Exercise exercise)	Creates a double-barrier option using a numeric call/put sign.
	DoubleBarrierOption(String underlyingName, double maturity, double strike, double lowerBarrier, double upperBarrier, double callOrPutSign, DoubleBarrierType doubleBarrierType, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Creates a double-barrier option using a numeric call/put sign.
	DoubleBarrierOption(String underlyingName, double maturity, double strike, double lowerBarrier, double upperBarrier, CallOrPut callOrPutSign, DoubleBarrierType doubleBarrierType, Exercise exercise)	Creates a double-barrier option.
	DoubleBarrierOption(String underlyingName, double maturity, double strike, double lowerBarrier, double upperBarrier, CallOrPut callOrPutSign, DoubleBarrierType doubleBarrierType, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Creates a double-barrier option.
	TouchOption(double maturity, double barrierValue, BarrierType barrierType, double payoffAmount, TouchSettlementTiming settlementTiming, Exercise exercise)	Performs the operation.
	TouchOption(double maturity, double barrierValue, BarrierType barrierType, double payoffAmount, TouchSettlementTiming settlementTiming, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Performs the operation.
	TouchOption(String underlyingName, double maturity, double barrierValue, BarrierType barrierType, double payoffAmount, Exercise exercise)	Performs the operation.
	TouchOption(String underlyingName, double maturity, double barrierValue, BarrierType barrierType, double payoffAmount, TouchSettlementTiming settlementTiming, Exercise exercise)	Performs the operation.
	TouchOption(String underlyingName, double maturity, double barrierValue, BarrierType barrierType, double payoffAmount, TouchSettlementTiming settlementTiming, Exercise exercise, MonitoringType monitoringType, double[] monitoringTimes)	Performs the operation.

Uses of Exercise in net.finmath.finitedifference.interestrate.products

Methods in net.finmath.finitedifference.interestrate.products that return Exercise

Modifier and Type	Method	Description
Exercise	Swaption.getExercise()	Returns the exercise specification.

Constructors in net.finmath.finitedifference.interestrate.products with parameters of type Exercise

Modifier	Constructor	Description
	Swaption(Exercise exercise, double[] explicitExerciseDates, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, String forwardCurveName, double[] swapRates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules)	Creates a swaption.
	Swaption(Exercise exercise, BermudanSwaptionFromSwapSchedules.SwaptionType swaptionType, String forwardCurveName, double[] swapRates, double[] notionals, Schedule[] fixSchedules, Schedule[] floatSchedules)	Creates a swaption without explicit exercise dates.

Uses of Exercise in net.finmath.finitedifference.solvers

Methods in net.finmath.finitedifference.solvers with parameters of type Exercise

Modifier and Type	Method	Description
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Performs the operation.
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, BarrierPDEMode barrierMode, BarrierPreHitSpecification preHitSpecification)	Performs the operation.
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, Exercise exercise)	Performs the operation.
static FDMSolver	FDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, Exercise exercise, BarrierPDEMode barrierMode, BarrierPreHitSpecification preHitSpecification)	Performs the operation.

Constructors in net.finmath.finitedifference.solvers with parameters of type Exercise

Modifier	Constructor	Description
	FDMThetaMethod1D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates a theta-method finite-difference solver for a one-dimensional backward PDE.
	FDMThetaMethod1D(FiniteDifferenceModel model, FiniteDifferenceProduct<? extends FiniteDifferenceModel> product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates a theta-method finite-difference solver for a one-dimensional backward PDE.
	FDMThetaMethod1D(FiniteDifferenceInterestRateModel model, FiniteDifferenceInterestRateProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates a theta-method finite-difference solver for a one-dimensional backward PDE.
	FDMThetaMethod1DJump(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates a one-dimensional theta-method PIDE solver with explicit jump term.
	FDMThetaMethod1DJump(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, int quadraturePointsPerSide)	Creates a one-dimensional theta-method PIDE solver with explicit jump term.
	FDMThetaMethod1DTwoState(FiniteDifferenceEquityModel model, FiniteDifferenceOneDimensionalKnockInProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, TwoStateActiveBoundaryProvider activeBoundaryProvider)	Creates a direct two-state theta-method solver for one-dimensional knock- in products.
	FDMThetaMethod1DTwoState(FiniteDifferenceEquityModel model, FiniteDifferenceOneDimensionalKnockInProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, TwoStateActiveBoundaryProvider activeBoundaryProvider, TwoStateActivationPolicy activationPolicy)	Creates a direct two-state theta-method solver with an explicit activation policy.
	FDMThetaMethod2D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates a two-dimensional theta-method finite-difference solver.

Uses of Exercise in net.finmath.finitedifference.solvers.adi

Methods in net.finmath.finitedifference.solvers.adi that return Exercise

Modifier and Type	Method	Description
protected Exercise	AbstractADI2D.getExercise()
protected Exercise	AbstractADI3D.getExercise()

Constructors in net.finmath.finitedifference.solvers.adi with parameters of type Exercise

Modifier	Constructor	Description
protected	AbstractADI2D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates the ADI solver.
protected	AbstractADI3D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)
	FDMAsianADI2D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates the lifted two-dimensional ADI solver for arithmetic Asian products.
	FDMAsianHestonADI3D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Performs the operation.
	FDMAsianSabrADI3D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates the lifted three-dimensional ADI solver for arithmetic Asian pricing under SABR.
	FDMBarrierHestonADI2D(FDMHestonModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, BarrierPDEMode barrierMode, BarrierPreHitSpecification preHitSpecification)	Creates the barrier-aware Heston ADI solver.
	FDMBarrierSabrADI2D(FDMSabrModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, BarrierPDEMode barrierMode, BarrierPreHitSpecification preHitSpecification)	Creates the barrier-aware SABR ADI solver.
	FDMBatesADI2D(FDMBatesModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates a Bates ADI solver with a default number of quadrature cells on each side of zero.
	FDMBatesADI2D(FDMBatesModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, int quadraturePointsPerSide)	Creates a Bates ADI solver.
	FDMHestonADI2D(FDMHestonModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates the ADI solver for the two-dimensional Heston PDE.
	FDMMultiAssetBlackScholesADI2D(FDMMultiAssetBlackScholesModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates the ADI solver for the two-dimensional multi-asset Black-Scholes PDE.
	FDMSabrADI2D(FDMSabrModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates the ADI solver for a two-dimensional SABR PDE.

Uses of Exercise in net.finmath.modelling

Classes in net.finmath.modelling that implement Exercise

Modifier and Type	Class	Description
class	AbstractExercise	Base class for exercise specifications.
class	AmericanExercise	American exercise: continuous exercise on an interval.
class	BermudanExercise	Bermudan exercise: exercise allowed only on a finite set of dates.
class	EuropeanExercise	European exercise: exercise only at maturity.