Uses of Interface
net.finmath.fouriermethod.models.CharacteristicFunctionModel
Package
Description
Classes related to the calibration of fourier models.
Provides characteristic functions of stochastic processes (models).
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to
the corresponding product value.
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Uses of CharacteristicFunctionModel in net.finmath.fouriermethod.calibration.models
Modifier and TypeMethodDescriptionCalibratableProcess.getCharacteristicFunctionModel()
Directly returns the characteristic function.CalibratableVarianceGammaModel.getCharacteristicFunctionModel()
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Uses of CharacteristicFunctionModel in net.finmath.fouriermethod.models
Modifier and TypeClassDescriptionclass
Implements the characteristic function of a Bates model.class
Implements the characteristic function of a Black Scholes model.class
Implements the characteristic function of a Heston model.class
Implements the characteristic function of a Merton jump diffusion model.class
Implements the characteristic function of a Variance Gamma model. -
Uses of CharacteristicFunctionModel in net.finmath.fouriermethod.products
Modifier and TypeMethodDescriptiondouble
AbstractFourierTransformProduct.getValue
(CharacteristicFunctionModel model) double
FourierTransformProduct.getValue
(CharacteristicFunctionModel model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. -
Uses of CharacteristicFunctionModel in net.finmath.fouriermethod.products.smile
Modifier and TypeMethodDescriptionEuropeanOptionSmile.getValue
(double evaluationTime, CharacteristicFunctionModel model) EuropeanOptionSmileByCarrMadan.getValue
(double evaluationTime, CharacteristicFunctionModel model) SmileByIntegralTransform.getValue
(double evaluationTime, CharacteristicFunctionModel model) Return the value of a family of options with the same maturity for different strikes.