Module net.finmath.lib

Package net.finmath.finitedifference.products

Class FDMEuropeanCallOption

java.lang.Object

net.finmath.finitedifference.products.FDMEuropeanCallOption

All Implemented Interfaces:

FiniteDifference1DBoundary, FiniteDifference1DProduct, Product

public class FDMEuropeanCallOption
extends Object
implements FiniteDifference1DProduct, FiniteDifference1DBoundary

Implementation of a European option to be valued by a the finite difference method.

Version:

1.0

Author:

Christian Fries, Ralph Rudd

Constructor Summary

Constructors

Constructor	Description
FDMEuropeanCallOption(double optionMaturity, double optionStrike)

Method Summary

Modifier and Type	Method	Description
double[][]	getValue(double evaluationTime, FiniteDifference1DModel model)	Return the value of the product under the given model.
double	getValueAtLowerBoundary(FiniteDifference1DModel model, double currentTime, double stockPrice)	Return the value of the value process at the lower boundary for a given time and asset value.
double	getValueAtUpperBoundary(FiniteDifference1DModel model, double currentTime, double stockPrice)	Return the value of the value process at the upper boundary for a given time and asset value.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface net.finmath.finitedifference.products.FiniteDifference1DProduct

getValue

Methods inherited from interface net.finmath.modelling.Product

getValues

Constructor Details

FDMEuropeanCallOption

public FDMEuropeanCallOption(double optionMaturity,
 double optionStrike)

Method Details

getValue

public double[][] getValue(double evaluationTime,
 FiniteDifference1DModel model)

Description copied from interface: FiniteDifference1DProduct

Return the value of the product under the given model.

Specified by:

getValue in interface FiniteDifference1DProduct

Parameters:

evaluationTime - The time at which the value (valuation) is requested.

model - The model under which the valuation should be performed.

Returns:

The random variable representing the valuation result.

getValueAtLowerBoundary

public double getValueAtLowerBoundary(FiniteDifference1DModel model,
 double currentTime,
 double stockPrice)

Description copied from interface: FiniteDifference1DBoundary

Return the value of the value process at the lower boundary for a given time and asset value.

Specified by:

getValueAtLowerBoundary in interface FiniteDifference1DBoundary

Parameters:

model - The model which uses the boundary condition (provides model parameters)

currentTime - The time at which the boundary is observed.

stockPrice - The value of the asset specifying the location of the boundary.

Returns:

the value process at the lower boundary

getValueAtUpperBoundary

public double getValueAtUpperBoundary(FiniteDifference1DModel model,
 double currentTime,
 double stockPrice)

Description copied from interface: FiniteDifference1DBoundary

Return the value of the value process at the upper boundary for a given time and asset value.

Specified by:

getValueAtUpperBoundary in interface FiniteDifference1DBoundary

Parameters:

model - TODO

currentTime - The time at which the boundary is observed.

stockPrice - The value of the asset specifying the location of the boundary.

Returns:

the value process at the upper boundary