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

Interface FourierTransformProduct

All Superinterfaces:
Product
All Known Implementing Classes:
AbstractFourierTransformProduct, DigitalOption, EuropeanOption, SingleAssetFourierProductFactory.DigitalOptionFourierMethod, SingleAssetFourierProductFactory.EuropeanOptionFourierMethod
public interface FourierTransformProduct extends Product
Version:
1.0
Author:
Christian Fries

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    getIntegrationDomainImagLowerBound()
    Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
    double
    getIntegrationDomainImagUpperBound()
    Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
    double
    getMaturity()
    Return the maturity of the associated payoff.
    Double
    getValue(double evaluationTime, Model model)
    Return the valuation of the product using the given model.
    double
    getValue(CharacteristicFunctionModel model)
    This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
    Map<String,Object>
    getValues(double evaluationTime, Model model)
    Return the valuation of the product using the given model.

  • Method Details

    • getValue

      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 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

      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 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

      double getValue(CharacteristicFunctionModel model) throws CalculationException
      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.
      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

      double getMaturity()
      Return the maturity of the associated payoff.
      Returns:
      The maturity of the associated payoff.

    • getIntegrationDomainImagLowerBound

      double getIntegrationDomainImagLowerBound()
      Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
      Returns:
      the lower bound of the imaginary part of the domain of integration.

    • getIntegrationDomainImagUpperBound

      double getIntegrationDomainImagUpperBound()
      Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
      Returns:
      the upper bound of the imaginary part of the domain of integration.