Triggers
Class Trigger

java.lang.Object
  extended byTriggers.Trigger
Direct Known Subclasses:
AmericanPutCvxTrigger, CvxTrigger, NullTrigger, PjTrigger, TriggerAtEachTimeStep, TriggerAtPercentChange, TriggerAtPercentDecline, TriggerAtPercentIncrease, TriggerPeriodic

public abstract class Trigger
extends java.lang.Object

A mechanism repeatedly triggering an event on the time interval [0,T]. T is the time horizon and the event could be rebalancing of a hedge or exercise of an option.


Constructor Summary
Trigger(int T)
           
 
Method Summary
abstract  boolean isTriggered(int t, int s)
          Returns true if the event is triggered at time s with reference to time t < s.
 int nextTime(int t)
          The smallest time t>=s where the event is triggered with reference to t.
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

Trigger

public Trigger(int T)
Method Detail

isTriggered

public abstract boolean isTriggered(int t,
                                    int s)

Returns true if the event is triggered at time s with reference to time t < s.

Usually t is the last time the event was triggered but the event could simply be triggered because some observed quantity has changed enough since time t.

Parameters:
t - reference time < s.
s - current time.

nextTime

public int nextTime(int t)

The smallest time t>=s where the event is triggered with reference to t.

Usually t is the last time the event was triggered but the event could simply be triggered because some observed quantity has changed enough since time t.

The default implementation below is not useful if we have to compute the path of an underlying stochastic process forward as we check for the trigger event. In this case the default implementation has to be overridden using the concrete context.

Parameters:
t - reference time.