Module net.finmath.lib
Package net.finmath.fouriermethod.products

Class AbstractFourierTransformProduct

java.lang.Object
net.finmath.fouriermethod.products.AbstractFourierTransformProduct
All Implemented Interfaces:
Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>, CharacteristicFunction, FourierTransformProduct, Product
Direct Known Subclasses:
DigitalOption, EuropeanOption
public abstract class AbstractFourierTransformProduct extends Object implements CharacteristicFunction, FourierTransformProduct
Version:
1.0
Author:
Christian Fries

  • Constructor Details

    • AbstractFourierTransformProduct

      public AbstractFourierTransformProduct()

  • Method Details

    • getValue

      public Double getValue(double evaluationTime, Model model)
      Description copied from interface: Product
      Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.
      Specified by:
      getValue in interface FourierTransformProduct
      Specified by:
      getValue in interface Product
      Parameters:
      evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.
      model - The model under which the product is valued.
      Returns:
      Object containing the value of the product using the given model.

    • getValues

      public Map<String,Object> getValues(double evaluationTime, Model model)
      Description copied from interface: Product
      Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.
      Specified by:
      getValues in interface FourierTransformProduct
      Specified by:
      getValues in interface Product
      Parameters:
      evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.
      model - The model under which the product is valued.
      Returns:
      Map containing the value of the product using the given model.

    • getValue

      public double getValue(CharacteristicFunctionModel model) throws CalculationException
      Description copied from interface: FourierTransformProduct
      This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.
      Specified by:
      getValue in interface FourierTransformProduct
      Parameters:
      model - The model used to price the product.
      Returns:
      The random variable representing the value of the product discounted to evaluation time
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getMaturity

      public abstract double getMaturity()
      Description copied from interface: FourierTransformProduct
      Return the maturity of the associated payoff.
      Specified by:
      getMaturity in interface FourierTransformProduct
      Returns:
      The maturity of the associated payoff.

    • getIntegrationDomainImagLowerBound

      public abstract double getIntegrationDomainImagLowerBound()
      Description copied from interface: FourierTransformProduct
      Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
      Specified by:
      getIntegrationDomainImagLowerBound in interface FourierTransformProduct
      Returns:
      the lower bound of the imaginary part of the domain of integration.

    • getIntegrationDomainImagUpperBound

      public abstract double getIntegrationDomainImagUpperBound()
      Description copied from interface: FourierTransformProduct
      Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
      Specified by:
      getIntegrationDomainImagUpperBound in interface FourierTransformProduct
      Returns:
      the upper bound of the imaginary part of the domain of integration.