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

Interface SmileByIntegralTransform

All Superinterfaces:
CharacteristicFunction, Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>
All Known Implementing Classes:
EuropeanOptionSmile, EuropeanOptionSmileByCarrMadan
public interface SmileByIntegralTransform extends CharacteristicFunction
Base interface for Fourier-based valuations. The particular feature is given by the method getValue, that returns a collection of prices.
Author:
Alessandro Gnoatto

  • Method Details

    • 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.

    • getValue

      Map<String,Function<Double,Double>> getValue(double evaluationTime, CharacteristicFunctionModel model) throws CalculationException
      Return the value of a family of options with the same maturity for different strikes.
      Parameters:
      evaluationTime - The evaluation time.
      model - The model against which the product should be values.
      Returns:
      The map of product values mapping from strike to value.
      Throws:
      CalculationException - Thrown if the valuation failed.