Libor.LiborDerivatives
Class PjTriggerBase

java.lang.Object
  extended byLibor.LiborDerivatives.PjTriggerBase

public class PjTriggerBase
extends java.lang.Object

Base for an exercise trigger of a Bermudan swaption following Peter Jaeckel. A completed object of this type is needed for the construction of the whole trigger and that's why the construction process is split into twop steps and composition is used.


Constructor Summary
PjTriggerBase(BermudanSwaption bswpn, int nPath)
           
 
Method Summary
 boolean exercise(int i, int t, double[] x)
          True if the exercise condition is met under coefficients x at time t along training path i , false otherwise.
 int getnPath()
           
 double[][] getPath(int i)
          ACCESSORS
 double[] getS()
           
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

PjTriggerBase

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

getPath

public double[][] getPath(int i)
ACCESSORS


getnPath

public int getnPath()

getS

public double[] getS()

exercise

public boolean exercise(int i,
                        int t,
                        double[] 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. Will be called from pjTrigger constructor.