Package com.opengamma.strata.pricer.impl.tree

Class ConstantContinuousSingleBarrierKnockoutFunction

java.lang.Object

com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction

All Implemented Interfaces:

OptionFunction, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ConstantContinuousSingleBarrierKnockoutFunction
extends Object
implements org.joda.beans.ImmutableBean, Serializable

Single barrier knock-out option function.

The barrier is continuous and the level is constant.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ConstantContinuousSingleBarrierKnockoutFunction.Meta	The meta-bean for ConstantContinuousSingleBarrierKnockoutFunction.

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
double	getBarrierLevel()	Gets the constant barrier level.
double	getBarrierLevel(int step)	Obtains the barrier level for the time layer specified by step.
BarrierType	getBarrierType()	Gets the barrier type.
DoubleArray	getNextOptionValues(double discountFactor, DoubleMatrix transitionProbability, DoubleArray stateValue, DoubleArray values, int i)	Computes the option values in the intermediate nodes.
int	getNumberOfSteps()	Gets the number of time steps.
DoubleArray	getPayoffAtExpiryTrinomial(DoubleArray stateValue)	Computes payoff at expiry for trinomial tree.
DoubleArray	getRebate()	Gets the rebate.
double	getRebate(int step)	Obtains the rebate for the time layer specified by step.
double	getSign()	Gets the sign.
double	getStrike()	Gets the strike value.
double	getTimeToExpiry()	Gets the time to expiry.
int	hashCode()
static ConstantContinuousSingleBarrierKnockoutFunction.Meta	meta()	The meta-bean for ConstantContinuousSingleBarrierKnockoutFunction.
ConstantContinuousSingleBarrierKnockoutFunction.Meta	metaBean()
static ConstantContinuousSingleBarrierKnockoutFunction	of(double strike, double timeToExpiry, PutCall putCall, int numberOfSteps, BarrierType barrierType, double barrierLevel, DoubleArray rebate)	Obtains an instance.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Methods inherited from interface com.opengamma.strata.pricer.impl.tree.OptionFunction

getNextOptionValues, getPayoffAtExpiryTrinomial

Method Detail

of

public static ConstantContinuousSingleBarrierKnockoutFunction of(double strike,
                                                                 double timeToExpiry,
                                                                 PutCall putCall,
                                                                 int numberOfSteps,
                                                                 BarrierType barrierType,
                                                                 double barrierLevel,
                                                                 DoubleArray rebate)

Obtains an instance.

Parameters:

strike - the strike

timeToExpiry - the time to expiry

putCall - put or call

numberOfSteps - number of steps

barrierType - the barrier type

barrierLevel - the barrier level

rebate - the rebate

Returns:

the instance

getBarrierLevel

public double getBarrierLevel(int step)

Obtains the barrier level for the time layer specified by step.

Parameters:

step - the step

Returns:

the barrier level

getRebate

public double getRebate(int step)

Obtains the rebate for the time layer specified by step.

Parameters:

step - the step

Returns:

the rebate

meta

public static ConstantContinuousSingleBarrierKnockoutFunction.Meta meta()

The meta-bean for ConstantContinuousSingleBarrierKnockoutFunction.

Returns:

the meta-bean, not null

metaBean

public ConstantContinuousSingleBarrierKnockoutFunction.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getStrike

public double getStrike()

Gets the strike value.

Returns:

the value of the property

getTimeToExpiry

public double getTimeToExpiry()

Gets the time to expiry.

Specified by:

getTimeToExpiry in interface OptionFunction

Returns:

the value of the property

getSign

public double getSign()

Gets the sign.

The sign is +1 for call and -1 for put.

Returns:

the value of the property

getNumberOfSteps

public int getNumberOfSteps()

Gets the number of time steps.

Specified by:

getNumberOfSteps in interface OptionFunction

Returns:

the value of the property

getBarrierType

public BarrierType getBarrierType()

Gets the barrier type.

Returns:

the value of the property, not null

getBarrierLevel

public double getBarrierLevel()

Gets the constant barrier level.

Returns:

the value of the property

getRebate

public DoubleArray getRebate()

Gets the rebate.

The rebate amounts for individual time layer. The size must be equal to numberOfSteps + 1

Returns:

the value of the property, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object

getPayoffAtExpiryTrinomial

public DoubleArray getPayoffAtExpiryTrinomial(DoubleArray stateValue)

Description copied from interface: OptionFunction

Computes payoff at expiry for trinomial tree.

The payoff values for individual nodes at expiry are computed from state values at the final layer. For example, the state values represent underlying prices of an option at respective nodes.

Specified by:

getPayoffAtExpiryTrinomial in interface OptionFunction

Parameters:

stateValue - the state values

Returns:

the payoff at expiry

getNextOptionValues

public DoubleArray getNextOptionValues(double discountFactor,
                                       DoubleMatrix transitionProbability,
                                       DoubleArray stateValue,
                                       DoubleArray values,
                                       int i)

Description copied from interface: OptionFunction

Computes the option values in the intermediate nodes.

Given a set of option values in the (i+1)-th layer, option values in the i-th layer are derived. The down, middle and up probabilities of the j-th lowest node are stored in the {i,0}, {i,1}, {i,2} components of transitionProbability, respectively.

For an option with path-dependence, this method should be overridden.

Specified by:

getNextOptionValues in interface OptionFunction

Parameters:

discountFactor - the discount factor between the two layers

transitionProbability - the transition probability

stateValue - the state value

values - the option value

i - the step number for which the next option values are computed

Returns:

the option values in the i-th layer