Module net.finmath.lib

Package net.finmath.modelling.productfactory

Class SingleAssetFourierProductFactory.DigitalOptionFourierMethod

java.lang.Object

net.finmath.fouriermethod.products.AbstractFourierTransformProduct

net.finmath.fouriermethod.products.DigitalOption

net.finmath.modelling.productfactory.SingleAssetFourierProductFactory.DigitalOptionFourierMethod

All Implemented Interfaces:

Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>, CharacteristicFunction, FourierTransformProduct, DescribedProduct<SingleAssetDigitalOptionProductDescriptor>, Product

Enclosing class:

SingleAssetFourierProductFactory

public static class SingleAssetFourierProductFactory.DigitalOptionFourierMethod
extends DigitalOption
implements DescribedProduct<SingleAssetDigitalOptionProductDescriptor>

Fourier method based implementation of a digital option from a product descriptor.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
DigitalOptionFourierMethod(SingleAssetDigitalOptionProductDescriptor descriptor, LocalDate referenceDate)	Create product from descriptor.

Method Summary

Modifier and Type	Method	Description
SingleAssetDigitalOptionProductDescriptor	getDescriptor()	Return a product descriptor representing this product.

Methods inherited from class net.finmath.fouriermethod.products.DigitalOption

apply, getIntegrationDomainImagLowerBound, getIntegrationDomainImagUpperBound, getMaturity

Methods inherited from class net.finmath.fouriermethod.products.AbstractFourierTransformProduct

getValue, getValue, getValues

Methods inherited from class java.lang.Object

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

Methods inherited from interface java.util.function.Function

andThen, compose

Constructor Details

DigitalOptionFourierMethod

public DigitalOptionFourierMethod(SingleAssetDigitalOptionProductDescriptor descriptor,
 LocalDate referenceDate)

Create product from descriptor.

Parameters:

descriptor - The descriptor of the product.

referenceDate - The reference date of the data for the valuation, used to convert absolute date to relative dates in double representation.

Method Details

getDescriptor

public SingleAssetDigitalOptionProductDescriptor getDescriptor()

Description copied from interface: DescribedProduct

Return a product descriptor representing this product.

Specified by:

getDescriptor in interface DescribedProduct<SingleAssetDigitalOptionProductDescriptor>

Returns:

The product descriptor of this product.