webcab.lib.finance.options.exotic
Class SimpleBoundaries

java.lang.Object
  |
  +--webcab.lib.finance.options.exotic.Dirichlet
        |
        +--webcab.lib.finance.options.exotic.SimpleBoundaries

All Implemented Interfaces:

Boundaries, DirichletBoundaries, Serializable

public class SimpleBoundaries

extends Dirichlet

implements DirichletBoundaries

This class is an implementation of the Dirichlet abstract classand provides boundary conditions for vanilla put and call options.

See Also:

Serialized Form

Constructor Summary

SimpleBoundaries(int european_american, int call_put, int long_short, double strike_price, double max_asset_price, double interest, double dividend)
Creates a SimpleBoundaries object

Method Summary

double

getValueAt(double t, int i, boolean i_max, double[] not_fixed_x, int m) Returns the value of the option on the boundary.

Methods inherited from class webcab.lib.finance.options.exotic.Dirichlet

type

Methods inherited from class java.lang.Object

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

Methods inherited from interface webcab.lib.finance.options.exotic.Boundaries

type

Constructor Detail

SimpleBoundaries

public SimpleBoundaries(int european_american,
                        int call_put,
                        int long_short,
                        double strike_price,
                        double max_asset_price,
                        double interest,
                        double dividend)
                 throws Exception

Creates a SimpleBoundaries object

Parameters:

european_american - Set this parameter to ExoticOptionsConstants.EUROPEAN or ExoticOptionsConstants.AMERICAN

call_put - Set this parameter to ExoticOptionsConstants.CALL or ExoticOptionsConstants.PUT

long_short - Set this parameter to ExoticOptionsConstants.LONG or ExoticOptionsConstants.SHORT (LONG - means that you buy the option; SHORT means that you are the writer of the option).

strike_price - The strike price (expiry price) of the contract.

max_asset_price - the asset price corresponding to the last item of the finite differencing grid

interest - the risk-free interest rate

dividend - the dividend yield

Method Detail

getValueAt

public double getValueAt(double t,
                         int i,
                         boolean i_max,
                         double[] not_fixed_x,
                         int m)

Description copied from interface: DirichletBoundaries

Returns the value of the option on the boundary. Must be implemented by the user.

Specified by:

getValueAt in interface DirichletBoundaries

Specified by:

getValueAt in class Dirichlet

Parameters:

t - the time

i - the index of the asset with fixed price. Counting begins with 0.

i_max - if true the method returns the value on the high boundary, otherwise it returns the value on the low boundary.

not_fixed_x - - a vector with m - 1 components - the prices of the remaining (not fixed) assets. It represents a point in the m - 1 dimensional space which represents the boundary. (a plane in the m diminsional space). Obs.: if m is 1 (one spatial coordinate <=> unidimensional <=> uni-asset) then the vector has 0 elements. In this case it will not be used to compute the result.

m - - the number of assets (equal to the number of spatial dimensions).

Returns:

the value of the option in the case that the i-th asset price is maximum or minimum, according to i_max, and the other m - 1 prices are given in not_fixed_i