org.jquantlib.methods.finitedifferences

Class ShoutCondition

java.lang.Object

org.jquantlib.methods.finitedifferences.CurveDependentStepCondition

org.jquantlib.methods.finitedifferences.ShoutCondition

All Implemented Interfaces:

StepCondition<Array>

public class ShoutCondition
extends CurveDependentStepCondition

Shout option condition

A shout option is an option where the holder has the right to lock in a minimum value for the payoff at one (shout) time during the option's life. The minimum value is the option's intrinsic value at the shout time.

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.methods.finitedifferences.CurveDependentStepCondition

CurveDependentStepCondition.CurveWrapper

Constructor Summary

Constructors

Constructor and Description
ShoutCondition(Array intrinsicValues, double resTime, double rate)
ShoutCondition(Option.Type type, double strike, double resTime, double rate)

Method Summary

Modifier and Type	Method and Description
void	applyTo(Array a, double t)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ShoutCondition

public ShoutCondition(Option.Type type,
                      double strike,
                      double resTime,
                      double rate)

ShoutCondition

public ShoutCondition(Array intrinsicValues,
                      double resTime,
                      double rate)

Method Detail

applyTo

public void applyTo(Array a,
                    double t)

Specified by:

applyTo in interface StepCondition<Array>

Overrides:

applyTo in class CurveDependentStepCondition