Libor.LiborDerivatives
Class CvxTrigger

java.lang.Object
  extended byTriggers.Trigger
      extended byLibor.LiborDerivatives.CvxTrigger

public class CvxTrigger
extends Trigger

Exercise trigger of a Bermudan swaption using convex deformation of the pure continuation region (see AmericanOptions.tex).


Constructor Summary
CvxTrigger(BermudanSwaption bswpn, int nPath, boolean verbose)
           
 
Method Summary
 void computeCoefficients()
          The pj-coefficients computed by the local optimizer inner class object.
 double forwardExercisePayoff(int t, double[] v)
          AUXILLIARY FUNCTIONS
 double[] getAlpha()
          ACCESSORS
 double[] getBeta()
           
 boolean isTriggered(int t, int s)
          THE TRIGGER CONDITION
static void main(java.lang.String[] args)
          Test program.
 
Methods inherited from class Triggers.Trigger
nextTime
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

CvxTrigger

public CvxTrigger(BermudanSwaption bswpn,
                  int nPath,
                  boolean verbose)
Parameters:
bswpn - the Bermudan swaption we want to exercise
nPath - number of training paths
verbose - messages as the trigger optimizes itself
Method Detail

forwardExercisePayoff

public double forwardExercisePayoff(int t,
                                    double[] v)
AUXILLIARY FUNCTIONS


getAlpha

public double[] getAlpha()
ACCESSORS


getBeta

public double[] getBeta()

computeCoefficients

public void computeCoefficients()
The pj-coefficients computed by the local optimizer inner class object. This method must be called before the trigger can be used. It is not possible to do this in the constructor.


isTriggered

public boolean isTriggered(int t,
                           int s)
THE TRIGGER CONDITION

Specified by:
isTriggered in class Trigger
Parameters:
t - reference time < s.
s - current time.

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.