Options
Class AmericanPutCvxTrigger

java.lang.Object
  extended byTriggers.Trigger
      extended byOptions.AmericanPutCvxTrigger

public class AmericanPutCvxTrigger
extends Trigger

Exercise trigger for an American put on a basic Black-Scholes asset using convex deformation of the pure continuation region (see AmericanOptions.tex).


Constructor Summary
AmericanPutCvxTrigger(AmericanBlackScholesPut put, int nPath, boolean verbose)
           
 
Method Summary
 void computeCoefficients()
          The pj-coefficients computed by the local optimizer inner class object.
 double[] getAlpha()
          ACCESSORS
 double[] getBeta()
           
 boolean isTriggered(int t, int s)
          THE TRIGGER CONDITION
 
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

AmericanPutCvxTrigger

public AmericanPutCvxTrigger(AmericanBlackScholesPut put,
                             int nPath,
                             boolean verbose)
Parameters:
put - the put option we want to exercise
nPath - number of training paths
verbose - messages as the trigger optimizes itself
Method Detail

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.