Module net.finmath.lib

Package net.finmath.modelling.productfactory

Class SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.DigitalOption

net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo

All Implemented Interfaces:

DescribedProduct<SingleAssetDigitalOptionProductDescriptor>, Product, AssetMonteCarloProduct, MonteCarloProduct

Enclosing class:

SingleAssetMonteCarloProductFactory

public static class SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo
extends DigitalOption
implements DescribedProduct<SingleAssetDigitalOptionProductDescriptor>

Monte-Carlo method based implementation of a digital option from a product descriptor.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
DigitalOptionMonteCarlo(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.montecarlo.assetderivativevaluation.products.DigitalOption

getMaturity, getNameOfUnderlying, getStrike, getUnderlyingIndex, getValue, toString

Methods inherited from class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

getValue

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Methods inherited from class java.lang.Object

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

Constructor Details

DigitalOptionMonteCarlo

public DigitalOptionMonteCarlo(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.