Options
Class AmericanPutCvxTriggerBase

java.lang.Object
  extended byOptions.AmericanPutCvxTriggerBase

public class AmericanPutCvxTriggerBase
extends java.lang.Object

Base for an exercise trigger of an American Black-Scholes put using convex deformation of the pure continuation region (see AmericanOptions.tex). 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 two steps and composition is used.


Constructor Summary
AmericanPutCvxTriggerBase(AmericanBlackScholesPut put, 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.
 double getbScale()
           
 int getnPath()
           
 double[][] getPath(int i)
          ACCESSORS
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

AmericanPutCvxTriggerBase

public AmericanPutCvxTriggerBase(AmericanBlackScholesPut put,
                                 int nPath)
Parameters:
put - the american put we want to exercise
nPath - the number of training paths used for parameter optimization
Method Detail

getPath

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


getnPath

public int getnPath()

getbScale

public double getbScale()

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.