Approximate the boundary condition basing on asset spot price. More...

#include <spotRelatedRange.hpp>

Inheritance diagram for marian::SpotRelatedRange:

Public Member Functions
	SpotRelatedRange ()
	Defualt constructor. More...

	SpotRelatedRange (double low, double up)
	Constructor. More...

double	getUpperBound (Market mkt, SmartPointer< Option >) const override
	returns upper boundary value More...

double	getLowerBound (Market mkt, SmartPointer< Option >) const override
	returns lower boundary value More...

virtual	~SpotRelatedRange ()
	Destructor.

Public Member Functions inherited from marian::DCRangeSetup< SpotRelatedRange >
virtual RangeSetup *	clone () const
	Virtual copy constructor.

Public Member Functions inherited from marian::RangeSetup
virtual	~RangeSetup ()
	Destructor.

Private Attributes
double	low_
	Multiplier for lower boundary.

double	up_
	Multiplier for upper boundary.

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. Using this class the spot range is set relatively to the spot price. When object of this class is constructed, the two multipliers low and upp are used. The lower boundary is approximated $\lim_{S \to 0} V(lS_t,t) = a \Rightarrow \lim_{x \to low*S} V(S_t,t) = a.$ . The upper boundary is approximated $\lim_{S \to \infty} V(lS_t,t) = a \Rightarrow \lim_{x \to upp*S} V(S_t,t) = a.$ .