Class implements algorithm to approximate indefinite boundaries. More...

#include <rangeSetup.hpp>

Inheritance diagram for marian::RangeSetup:

Public Member Functions
virtual double	getUpperBound (Market, SmartPointer< Option >) const =0
	Returns the upper boundary for a given market and option.

virtual double	getLowerBound (Market, SmartPointer< Option >) const =0
	Returns the lower boundary for a given market and option.

virtual RangeSetup *	clone () const =0
	Virtual copy constructor.

virtual	~RangeSetup ()
	Destructor.

Detailed Description

For some options the boundary conditions need to be set in the infinity. When we use numerical routines we must approximate this conditions with finite values. Because we can achieve this in difference ways, we introduce the common interface for range setting algorithm. Using the getUpperBound and getLowerBound methods we receive the end points of interval.

For example: In case of European option we have the boundary conditions: $\lim_{x \to -\infty} V(ln S_t,t) = 0.$ and $\lim_{x \to \infty} V(ln S_t,t) = S.$ We can approximate this boundaries assuming that the same condition can be applied for finite values of x, like 0.2 S and 3.0 S. The method of approximating the boundaries is delegated to derived classes.

The documentation for this class was generated from the following file:

C:/Unix/home/OEM/fdm/src/financial/gridRange/rangeSetup.hpp

Public Member Functions

Detailed Description