Uses of Interface
net.finmath.montecarlo.assetderivativevaluation.products.AssetMonteCarloProduct

Packages that use AssetMonteCarloProduct

Package	Description
net.finmath.modelling.productfactory	Provides classes to build products from descriptors.
net.finmath.montecarlo.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationModel.

Uses of AssetMonteCarloProduct in net.finmath.modelling.productfactory

Classes in net.finmath.modelling.productfactory that implement AssetMonteCarloProduct

Modifier and Type	Class	Description
static class	SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo	Monte-Carlo method based implementation of a digital option from a product descriptor.
static class	SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo	Monte-Carlo method based implementation of a European option from a product descriptor.

Uses of AssetMonteCarloProduct in net.finmath.montecarlo.assetderivativevaluation.products

Classes in net.finmath.montecarlo.assetderivativevaluation.products that implement AssetMonteCarloProduct

Modifier and Type	Class	Description
class	AbstractAssetMonteCarloProduct	Base class for products requiring an AssetModelMonteCarloSimulationModel for valuation.
class	AsianOption	Implements the valuation of an Asian option.
class	BasketOption	Implements valuation of a European option on a basket of asset.
class	BermudanDigitalOption	This class implements the valuation of a Bermudan digital option paying \( N_{i} \cdot \mathbb{1}(S(T_{i}) - K_{i}) \) at \( T_{i} \), when exercised in \( T_{i} \), where \( N_{i} \) is the notional, \( \mathbb{1} \) is the indicator function, \( S \) is the underlying, \( K_{i} \) is the strike and \( T_{i} \) the exercise date.
class	BermudanOption	This class implements the valuation of a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
class	BlackScholesDeltaHedgedPortfolio	This class implements a delta hedged portfolio of an European option (a hedge simulator).
class	BlackScholesHedgedPortfolio	This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
class	DeltaHedgedPortfolioWithAAD	This class implements a delta hedged portfolio (a hedge simulator).
class	DigitalOption	Implements the valuation of a digital option on a single asset.
class	DigitalOptionDeltaLikelihood	Implements calculation of the delta of a digital option.
class	EuropeanOption	Implements the valuation of a European option on a single asset.
class	EuropeanOptionDeltaLikelihood	Implements calculation of the delta of a European option using the likelihood ratio method.
class	EuropeanOptionDeltaPathwise	Implements calculation of the delta of a European option using the path-wise method, assuming that the underlying follows a model where d S(T)/d S(0) = S(T)/S(0), e.g., Black-Scholes.
class	EuropeanOptionDeltaPathwiseForGeometricModel	Implements calculation of the delta of a European option using the path-wise method, assuming that the underlying follows a model where d S(T)/d S(0) = S(T)/S(0), e.g., Black-Scholes.
class	EuropeanOptionGammaLikelihood	Implements calculation of the delta of a European option.
class	EuropeanOptionGammaPathwise	Implements calculation of the delta of a European option using the pathwise method.
class	EuropeanOptionRhoLikelihood	Implements calculation of the delta of a European option.
class	EuropeanOptionRhoPathwise	Implements calculation of the delta of a European option using the pathwise method.
class	EuropeanOptionThetaPathwise	Implements calculation of the theta of a European option using the pathwise method.
class	EuropeanOptionVegaLikelihood	Implements calculation of the delta of a European option.
class	EuropeanOptionVegaPathwise	Implements calculation of the vega of a European option using the pathwise method.
class	EuropeanOptionWithBoundary	Implements pricing of a European stock option.
class	FiniteDifferenceDeltaHedgedPortfolio	This class implements a delta hedged portfolio of a given product (a hedge simulator).
class	FiniteDifferenceHedgedPortfolio	This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
class	ForwardAgreement	Implements the valuation of a forward on a single asset.
class	ForwardAgreementWithFundingRequirement	Implements the valuation of a forward on a single asset.
class	LocalRiskMinimizingHedgePortfolio	This class implements a mean variance hedged portfolio of a given product (a hedge simulator).

Constructors in net.finmath.montecarlo.assetderivativevaluation.products with parameters of type AssetMonteCarloProduct

Modifier	Constructor	Description
	DeltaHedgedPortfolioWithAAD(AssetMonteCarloProduct productToReplicate)	Construction of a delta hedge portfolio.
	DeltaHedgedPortfolioWithAAD(AssetMonteCarloProduct productToReplicate, int numberOfBins)	Construction of a delta hedge portfolio.