picsou.pricing
Class EuropeanBarrier

java.lang.Object
  picsou.pricing.PricingSimulator
      picsou.pricing.EuropeanBarrier

All Implemented Interfaces:

Simulator

Direct Known Subclasses:

EuropeanBarrierDown, EuropeanBarrierUp

public abstract class EuropeanBarrier
extends PricingSimulator

Field Summary

protected double

barrierPrice

Fields inherited from class picsou.pricing.PricingSimulator

a1, a2, alg, asset, deltaT, generator, itsPerPacket, log, offloadedIts, riskFreeRateDiscount, state, timeIntervals

Constructor Summary

EuropeanBarrier()

Method Summary

void	algInit(double barrierPrice)
protected abstract boolean	barrierValid(double barrierPrice)
protected abstract boolean	compareBarrier(double currentPrice)
protected abstract boolean	isInPastBarrier()
protected abstract boolean	isOutPastBarrier()
double	unguardedGetCallPrice()
double	unguardedGetPutPrice()
protected void	unguardedSimulate(int simCount)

Methods inherited from class picsou.pricing.PricingSimulator

autorun, getAlg, getAsset, getDefaultOptionSet, getOptionSet, getPrice, getState, getXMLFormatter, init, init, init, merge, offload, printAlgXML, printAssetXML, printOptionSet, reset, restart, seed, simulate, simulate, simulate, simulate, unguardedMerge, unguardedRestart, unguardedSimulate, updateState, updateValues

Methods inherited from class java.lang.Object

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

Field Detail

barrierPrice

protected double barrierPrice

Constructor Detail

EuropeanBarrier

public EuropeanBarrier()

Method Detail

compareBarrier

protected abstract boolean compareBarrier(double currentPrice)

isOutPastBarrier

protected abstract boolean isOutPastBarrier()

isInPastBarrier

protected abstract boolean isInPastBarrier()

barrierValid

protected abstract boolean barrierValid(double barrierPrice)

algInit

public void algInit(double barrierPrice)
             throws InvalidValueException

Throws:

InvalidValueException

unguardedSimulate

protected final void unguardedSimulate(int simCount)

unguardedGetPutPrice

public double unguardedGetPutPrice()

unguardedGetCallPrice

public double unguardedGetCallPrice()