Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.products

Class EuropeanOptionWithBoundary.ConstantBarrier

java.lang.Object

net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier

All Implemented Interfaces:

Barrier

Enclosing class:

EuropeanOptionWithBoundary

public class EuropeanOptionWithBoundary.ConstantBarrier
extends Object
implements Barrier

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
ConstantBarrier(AssetModelMonteCarloSimulationModel scheme)

Method Summary

Modifier and Type	Method	Description
RandomVariableFromDoubleArray[]	getBarrierDirection(int timeIndex, RandomVariable[] realizationPredictor)	The barrier direction, i.e.
RandomVariableFromDoubleArray	getBarrierLevel(int timeIndex, RandomVariable[] realizationPredictor)	The barrier level
boolean	isUpperBarrier()

Methods inherited from class java.lang.Object

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

Constructor Details

ConstantBarrier

public ConstantBarrier(AssetModelMonteCarloSimulationModel scheme)

Method Details

getBarrierDirection

public RandomVariableFromDoubleArray[] getBarrierDirection(int timeIndex,
 RandomVariable[] realizationPredictor)

Description copied from interface: Barrier

The barrier direction, i.e. a (stochastic) projection vector for the components)

Specified by:

getBarrierDirection in interface Barrier

Parameters:

timeIndex - Time index associated with the model time discretization.

realizationPredictor - Model process realization at timeIndex.

Returns:

Direction of barrier.

getBarrierLevel

public RandomVariableFromDoubleArray getBarrierLevel(int timeIndex,
 RandomVariable[] realizationPredictor)
                                              throws CalculationException

Description copied from interface: Barrier

The barrier level

Specified by:

getBarrierLevel in interface Barrier

Parameters:

timeIndex - Time index associated with the model time discretization.

realizationPredictor - Model process realization at timeIndex.

Returns:

Level of barrier.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

isUpperBarrier

public boolean isUpperBarrier()

Specified by:

isUpperBarrier in interface Barrier

Returns:

Returns true, if the barrier is an upper barrier. Returns false, if the barrier is an lower barrier.