Libor.LiborDerivatives
Class PjTrigger

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

public class PjTrigger
extends Trigger

Exercise trigger of a Bermudan swaption following Peter Jaeckel. Akwardly a base object has to be fully constructed before the trigger can be constructed.


Constructor Summary
PjTrigger(BermudanSwaption bswpn, int nPath, boolean verbose)
           
 
Method Summary
 void computeCoefficients()
          The pj-coefficients computed by the local optimizer inner class object.
 double[] getP1()
          ACCESSORS
 double[] getP2()
           
 double[] getP3()
           
 boolean isTriggered(int t, int s)
          True if exercise is triggered at time t false otherwise.
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

PjTrigger

public PjTrigger(BermudanSwaption bswpn,
                 int nPath,
                 boolean verbose)
Parameters:
bswpn - the Bermudan swaption we want to exercise
Method Detail

getP1

public double[] getP1()
ACCESSORS


getP2

public double[] getP2()

getP3

public double[] getP3()

computeCoefficients

public void computeCoefficients()
The pj-coefficients computed by the local optimizer inner class object.


isTriggered

public boolean isTriggered(int t,
                           int s)
True if exercise is triggered at time t false otherwise.

Specified by:
isTriggered in class Trigger
Parameters:
t - irrelevant
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.