Module net.finmath.lib
Class EuropeanOptionWithBoundary.ConstantBarrier
- java.lang.Object
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- net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary.ConstantBarrier
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- All Implemented Interfaces:
Barrier
- Enclosing class:
- EuropeanOptionWithBoundary
public class EuropeanOptionWithBoundary.ConstantBarrier extends Object implements Barrier
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description ConstantBarrier(AssetModelMonteCarloSimulationModel scheme)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description RandomVariableFromDoubleArray[]
getBarrierDirection(int timeIndex, RandomVariable[] realizationPredictor)
The barrier direction, i.e.RandomVariableFromDoubleArray
getBarrierLevel(int timeIndex, RandomVariable[] realizationPredictor)
The barrier levelboolean
isUpperBarrier()
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Constructor Detail
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ConstantBarrier
public ConstantBarrier(AssetModelMonteCarloSimulationModel scheme)
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Method Detail
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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 interfaceBarrier
- Parameters:
timeIndex
- Time index associated with the model time discretization.realizationPredictor
- Model process realization at timeIndex.- Returns:
- Direction of barrier.
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getBarrierLevel
public RandomVariableFromDoubleArray getBarrierLevel(int timeIndex, RandomVariable[] realizationPredictor) throws CalculationException
Description copied from interface:Barrier
The barrier level- Specified by:
getBarrierLevel
in interfaceBarrier
- 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 thecause()
method.
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isUpperBarrier
public boolean isUpperBarrier()
- Specified by:
isUpperBarrier
in interfaceBarrier
- Returns:
- Returns true, if the barrier is an upper barrier. Returns false, if the barrier is an lower barrier.
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