Libor.LiborDerivatives
Class BermudanExerciseBoundary

java.lang.Object
  java.awt.Component
      java.awt.Container
          java.awt.Window
              java.awt.Frame
                  javax.swing.JFrame
                      Graphics.PointFrame
                          Libor.LiborDerivatives.BermudanExerciseBoundary

All Implemented Interfaces:

javax.accessibility.Accessible, java.awt.image.ImageObserver, java.awt.MenuContainer, javax.swing.RootPaneContainer, java.io.Serializable, javax.swing.WindowConstants

public abstract class BermudanExerciseBoundary

extends PointFrame

A JFrame associated with a BermudanSwaption and a two dimensional statistic (path functional) of the underlying Libor path. The frame computes nPaths paths of the Libor process and plots the points corresponding to the value of the statistic colored saccording as the naive Bermudan exercise strategy does or does not exercise at the respective Libor path at time t

.

The objective is to discover a statistic which induces a nice separation between the exercise and continuation region.

See Also:

Serialized Form

Nested Class Summary

Nested classes inherited from class javax.swing.JFrame

javax.swing.JFrame.AccessibleJFrame

Nested classes inherited from class java.awt.Frame

java.awt.Frame.AccessibleAWTFrame

Nested classes inherited from class java.awt.Window

java.awt.Window.AccessibleAWTWindow

Nested classes inherited from class java.awt.Container

java.awt.Container.AccessibleAWTContainer

Nested classes inherited from class java.awt.Component

java.awt.Component.AccessibleAWTComponent, java.awt.Component.BltBufferStrategy, java.awt.Component.FlipBufferStrategy

Field Summary

Fields inherited from class Graphics.PointFrame

BLACK, BLUE, CYAN, MAGENTA, RED, WHITE, YELLOW

Fields inherited from class javax.swing.JFrame

accessibleContext, EXIT_ON_CLOSE, rootPane, rootPaneCheckingEnabled

Fields inherited from class java.awt.Frame

CROSSHAIR_CURSOR, DEFAULT_CURSOR, E_RESIZE_CURSOR, HAND_CURSOR, ICONIFIED, MAXIMIZED_BOTH, MAXIMIZED_HORIZ, MAXIMIZED_VERT, MOVE_CURSOR, N_RESIZE_CURSOR, NE_RESIZE_CURSOR, NORMAL, NW_RESIZE_CURSOR, S_RESIZE_CURSOR, SE_RESIZE_CURSOR, SW_RESIZE_CURSOR, TEXT_CURSOR, W_RESIZE_CURSOR, WAIT_CURSOR

Fields inherited from class java.awt.Component

BOTTOM_ALIGNMENT, CENTER_ALIGNMENT, LEFT_ALIGNMENT, RIGHT_ALIGNMENT, TOP_ALIGNMENT

Fields inherited from interface javax.swing.WindowConstants

DISPOSE_ON_CLOSE, DO_NOTHING_ON_CLOSE, HIDE_ON_CLOSE

Fields inherited from interface java.awt.image.ImageObserver

ABORT, ALLBITS, ERROR, FRAMEBITS, HEIGHT, PROPERTIES, SOMEBITS, WIDTH

Constructor Summary

BermudanExerciseBoundary(java.lang.String title, BermudanSwaption bswpn, Trigger exercise, int t, int nPaths, double xmin, double xmax, double ymin, double ymax)
Constructor

BermudanExerciseBoundary(java.lang.String title, BermudanSwaption bswpn, Trigger exercise, int t, int nPaths, double xmin, double xmax, double ymin, double ymax, double x0, double y0, java.awt.Color axesColor)
Constructor, this one draws axes x=x0, y=y0.

Method Summary

abstract double[]	currentStatistic() The value of the two dimensional statistic (Libor path functional) computed from the current Libor path at time t.
static void	main(java.lang.String[] args) Test program.
Point	nextPoint() Allocates and computes the array of points of the statistic colored according to the exercise decision.

Methods inherited from class Graphics.PointFrame

fillPoints, saveAsJPEG

Methods inherited from class javax.swing.JFrame

addImpl, createRootPane, frameInit, getAccessibleContext, getContentPane, getDefaultCloseOperation, getGlassPane, getJMenuBar, getLayeredPane, getRootPane, isDefaultLookAndFeelDecorated, isRootPaneCheckingEnabled, paramString, processWindowEvent, remove, setContentPane, setDefaultCloseOperation, setDefaultLookAndFeelDecorated, setGlassPane, setJMenuBar, setLayeredPane, setLayout, setRootPane, setRootPaneCheckingEnabled, update

Methods inherited from class java.awt.Frame

addNotify, finalize, getCursorType, getExtendedState, getFrames, getIconImage, getMaximizedBounds, getMenuBar, getState, getTitle, isResizable, isUndecorated, remove, removeNotify, setCursor, setExtendedState, setIconImage, setMaximizedBounds, setMenuBar, setResizable, setState, setTitle, setUndecorated

Methods inherited from class java.awt.Window

addPropertyChangeListener, addPropertyChangeListener, addWindowFocusListener, addWindowListener, addWindowStateListener, applyResourceBundle, applyResourceBundle, createBufferStrategy, createBufferStrategy, dispose, getBufferStrategy, getFocusableWindowState, getFocusCycleRootAncestor, getFocusOwner, getFocusTraversalKeys, getGraphicsConfiguration, getInputContext, getListeners, getLocale, getMostRecentFocusOwner, getOwnedWindows, getOwner, getToolkit, getWarningString, getWindowFocusListeners, getWindowListeners, getWindowStateListeners, hide, isActive, isFocusableWindow, isFocusCycleRoot, isFocused, isShowing, pack, postEvent, processEvent, processWindowFocusEvent, processWindowStateEvent, removeWindowFocusListener, removeWindowListener, removeWindowStateListener, setCursor, setFocusableWindowState, setFocusCycleRoot, setLocationRelativeTo, show, toBack, toFront

Methods inherited from class java.awt.Container

add, add, add, add, add, addContainerListener, applyComponentOrientation, areFocusTraversalKeysSet, countComponents, deliverEvent, doLayout, findComponentAt, findComponentAt, getAlignmentX, getAlignmentY, getComponent, getComponentAt, getComponentAt, getComponentCount, getComponents, getContainerListeners, getFocusTraversalPolicy, getInsets, getLayout, getMaximumSize, getMinimumSize, getPreferredSize, insets, invalidate, isAncestorOf, isFocusCycleRoot, isFocusTraversalPolicySet, layout, list, list, locate, minimumSize, paint, paintComponents, preferredSize, print, printComponents, processContainerEvent, remove, removeAll, removeContainerListener, setFocusTraversalKeys, setFocusTraversalPolicy, setFont, transferFocusBackward, transferFocusDownCycle, validate, validateTree

Methods inherited from class java.awt.Component

action, add, addComponentListener, addFocusListener, addHierarchyBoundsListener, addHierarchyListener, addInputMethodListener, addKeyListener, addMouseListener, addMouseMotionListener, addMouseWheelListener, bounds, checkImage, checkImage, coalesceEvents, contains, contains, createImage, createImage, createVolatileImage, createVolatileImage, disable, disableEvents, dispatchEvent, enable, enable, enableEvents, enableInputMethods, firePropertyChange, firePropertyChange, firePropertyChange, getBackground, getBounds, getBounds, getColorModel, getComponentListeners, getComponentOrientation, getCursor, getDropTarget, getFocusListeners, getFocusTraversalKeysEnabled, getFont, getFontMetrics, getForeground, getGraphics, getHeight, getHierarchyBoundsListeners, getHierarchyListeners, getIgnoreRepaint, getInputMethodListeners, getInputMethodRequests, getKeyListeners, getLocation, getLocation, getLocationOnScreen, getMouseListeners, getMouseMotionListeners, getMouseWheelListeners, getName, getParent, getPeer, getPropertyChangeListeners, getPropertyChangeListeners, getSize, getSize, getTreeLock, getWidth, getX, getY, gotFocus, handleEvent, hasFocus, imageUpdate, inside, isBackgroundSet, isCursorSet, isDisplayable, isDoubleBuffered, isEnabled, isFocusable, isFocusOwner, isFocusTraversable, isFontSet, isForegroundSet, isLightweight, isOpaque, isValid, isVisible, keyDown, keyUp, list, list, list, location, lostFocus, mouseDown, mouseDrag, mouseEnter, mouseExit, mouseMove, mouseUp, move, nextFocus, paintAll, prepareImage, prepareImage, printAll, processComponentEvent, processFocusEvent, processHierarchyBoundsEvent, processHierarchyEvent, processInputMethodEvent, processKeyEvent, processMouseEvent, processMouseMotionEvent, processMouseWheelEvent, removeComponentListener, removeFocusListener, removeHierarchyBoundsListener, removeHierarchyListener, removeInputMethodListener, removeKeyListener, removeMouseListener, removeMouseMotionListener, removeMouseWheelListener, removePropertyChangeListener, removePropertyChangeListener, repaint, repaint, repaint, repaint, requestFocus, requestFocus, requestFocusInWindow, requestFocusInWindow, reshape, resize, resize, setBackground, setBounds, setBounds, setComponentOrientation, setDropTarget, setEnabled, setFocusable, setFocusTraversalKeysEnabled, setForeground, setIgnoreRepaint, setLocale, setLocation, setLocation, setName, setSize, setSize, setVisible, show, size, toString, transferFocus, transferFocusUpCycle

Methods inherited from class java.lang.Object

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

Methods inherited from interface java.awt.MenuContainer

getFont, postEvent

Constructor Detail

BermudanExerciseBoundary

public BermudanExerciseBoundary(java.lang.String title,
                                BermudanSwaption bswpn,
                                Trigger exercise,
                                int t,
                                int nPaths,
                                double xmin,
                                double xmax,
                                double ymin,
                                double ymax)

Constructor

BermudanExerciseBoundary

public BermudanExerciseBoundary(java.lang.String title,
                                BermudanSwaption bswpn,
                                Trigger exercise,
                                int t,
                                int nPaths,
                                double xmin,
                                double xmax,
                                double ymin,
                                double ymax,
                                double x0,
                                double y0,
                                java.awt.Color axesColor)

Constructor, this one draws axes x=x0, y=y0.

Method Detail

currentStatistic

public abstract double[] currentStatistic()

The value of the two dimensional statistic (Libor path functional) computed from the current Libor path at time t. This statistic will be plotted and the points colored according as the naive Bermudan exercise strategy does or does not exercise at the current Libor path at time t. The objective is to discover a statistic which induces a nice separation between the exercise and continuation region.

nextPoint

public Point nextPoint()

Allocates and computes the array of points of the statistic colored according to the exercise decision.

Specified by:

nextPoint in class PointFrame

main

public static void main(java.lang.String[] args)

Test program. Allocates a Libor process of dimension n=20 and a semiannual 10 non call 2 Bermudan swaption. Then computes the exercise boundary from the naive exercise strategy at time t=8.