Interface Barrier

  • All Known Implementing Classes:
    EuropeanOptionWithBoundary.ConstantBarrier

    public interface Barrier
    The interface describes how an barrier has to be specified for the generation of a process (see LogNormalProcessWithBarrierStrategy).
    Since:
    finmath-lib 4.1.0
    Version:
    1.0
    Author:
    Christian Fries
    • Method Detail

      • getBarrierDirection

        RandomVariableFromDoubleArray[] getBarrierDirection​(int timeIndex,
                                                            RandomVariable[] randomVariable)
        The barrier direction, i.e. a (stochastic) projection vector for the components)
        Parameters:
        timeIndex - Time index associated with the model time discretization.
        randomVariable - Model process realization at timeIndex.
        Returns:
        Direction of barrier.
      • getBarrierLevel

        RandomVariable getBarrierLevel​(int timeIndex,
                                       RandomVariable[] randomVariable)
                                throws CalculationException
        The barrier level
        Parameters:
        timeIndex - Time index associated with the model time discretization.
        randomVariable - 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

        boolean isUpperBarrier()
        Returns:
        Returns true, if the barrier is an upper barrier. Returns false, if the barrier is an lower barrier.