## Uses of Interfacenet.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
Constructor Description
DeltaHedgedPortfolioWithAAD​(AssetMonteCarloProduct productToReplicate)
Construction of a delta hedge portfolio.
DeltaHedgedPortfolioWithAAD​(AssetMonteCarloProduct productToReplicate, int numberOfBins)
Construction of a delta hedge portfolio.