Module net.finmath.lib
Package net.finmath.fouriermethod.models

Class BlackScholesModel

java.lang.Object
net.finmath.fouriermethod.models.BlackScholesModel
All Implemented Interfaces:
CharacteristicFunctionModel, Model
public class BlackScholesModel extends Object implements CharacteristicFunctionModel
Implements the characteristic function of a Black Scholes model.
Version:
1.0
Author:
Christian Fries, Alessandro Gnoatto

  • Constructor Details

    • BlackScholesModel

      public BlackScholesModel​(LocalDate referenceDate, double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double volatility)
      Create a Black Scholes model (characteristic function)
      Parameters:
      referenceDate - The date representing the time t = 0. All other double times are following FloatingpointDate.
      initialValue - \( S_{0} \) - spot - initial value of S
      discountCurveForForwardRate - The curve specifying \( t \mapsto exp(- r^{\text{c}}(t) \cdot t) \) - with \( r^{\text{c}}(t) \) the risk free rate
      discountCurveForDiscountRate - The curve specifying \( t \mapsto exp(- r^{\text{d}}(t) \cdot t) \) - with \( r^{\text{d}}(t) \) the discount rate
      volatility - \( \sigma \) the volatility level

    • BlackScholesModel

      public BlackScholesModel​(double initialValue, double riskFreeRate, double discountRate, double volatility)
      Create a Black Scholes model (characteristic function)
      Parameters:
      initialValue - \( S_{0} \) - spot - initial value of S
      riskFreeRate - \( r^{\text{c}} \) - the risk free rate
      discountRate - \( r^{\text{d}} \) - the discount rate
      volatility - \( \sigma \) the volatility level

    • BlackScholesModel

      public BlackScholesModel​(double initialValue, double riskFreeRate, double volatility)
      Create a Black Scholes model (characteristic function)
      Parameters:
      initialValue - \( S_{0} \) - spot - initial value of S
      riskFreeRate - \( r^{\text{c}} \) - the risk free rate
      volatility - \( \sigma \) the volatility level

  • Method Details

    • apply

      public CharacteristicFunction apply​(double time)
      Description copied from interface: CharacteristicFunctionModel
      Returns the characteristic function of X(t), where X is this stochastic process.
      Specified by:
      apply in interface CharacteristicFunctionModel
      Parameters:
      time - The time at which the stochastic process is observed.
      Returns:
      The characteristic function of X(t).

    • getReferenceDate

      public LocalDate getReferenceDate()
      Returns:
      the referenceDate

    • getInitialValue

      public double getInitialValue()
      Returns:
      the initialValue

    • getDiscountCurveForForwardRate

      public DiscountCurve getDiscountCurveForForwardRate()
      Returns:
      the discountCurveForForwardRate

    • getRiskFreeRate

      public double getRiskFreeRate()
      Returns:
      the riskFreeRate

    • getDiscountCurveForDiscountRate

      public DiscountCurve getDiscountCurveForDiscountRate()
      Returns:
      the discountCurveForDiscountRate

    • getDiscountRate

      public double getDiscountRate()
      Returns:
      the discountRate

    • getVolatility

      public double getVolatility()
      Returns:
      the volatility

    • toString

      public String toString()
      Overrides:
      toString in class Object