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PjTrigger Class Reference

#include <Trigger.h>

Inheritance diagram for PjTrigger:

Trigger List of all members.

Detailed Description

Exercise trigger of a Bermudan swaption using the parametrization of the exercise boundary given by P. Jaeckel, "Monte Carlo Methods in Finance", 12.7.

Definition at line 92 of file Trigger.h.

Public Member Functions

int getPaths ()
int get_q ()
RealArray2DgetTrainingPath (int i)
 PjTrigger (LiborMarketModel *lmm, BermudanSwaption *swpn, bool vbose)
 ~PjTrigger ()
bool isTriggered (int t, int s)
int nextTriggered (int t)
bool exercise (int i, int t, const RealArray1D &x)
Real objectiveFunction (int t, const RealArray1D &v)


Constructor & Destructor Documentation

PjTrigger::PjTrigger LiborMarketModel   lmm,
BermudanSwaption   swpn,
bool    vbose
 

Parameters:
lmm the Libor Market Model.
swpn the Bermudan swaption.
vbose messages during initialization.

PjTrigger::~PjTrigger  
 


Member Function Documentation

int PjTrigger::getPaths   [inline]
 

The number of training paths.

Definition at line 123 of file Trigger.h.

int PjTrigger::get_q   [inline]
 

Swap period ends at .

Definition at line 125 of file Trigger.h.

RealArray2D& PjTrigger::getTrainingPath int    i [inline]
 

Array storing the information from training path i.

Definition at line 127 of file Trigger.h.

bool PjTrigger::isTriggered int    t,
int    s
[virtual]
 

True if exercise is triggered at time t false otherwise.

Parameters:
t irrelevant.
s current time.

Implements Trigger.

int PjTrigger::nextTriggered int    t [virtual]
 

The first discrete time at which exercise is triggered. This computes the underlying Libor path forward to time s.

Implements Trigger.

bool PjTrigger::exercise int    i,
int    t,
const RealArray1D   x
 

True if the exercise condition is met under coefficients x at time t along training path i , false otherwise. Exercises only if payoff>0.

Real PjTrigger::objectiveFunction int    t,
const RealArray1D   v
 

The objective function of the parameters v=(p0,p1,p2) which has to be maximized at time step t (the sum of forward payoffs when exercising at time or thereafter according to the optimal coefficients compute for times t+1,t+2,...,q-1).


The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3