Module net.finmath.lib

Package net.finmath.modelling.productfactory

Class SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption

net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo

All Implemented Interfaces:

DescribedProduct<SingleAssetEuropeanOptionProductDescriptor>, Product, AssetMonteCarloProduct, MonteCarloProduct

Enclosing class:

SingleAssetMonteCarloProductFactory

public static class SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo
extends EuropeanOption
implements DescribedProduct<SingleAssetEuropeanOptionProductDescriptor>

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

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
EuropeanOptionMonteCarlo(SingleAssetEuropeanOptionProductDescriptor descriptor, LocalDate referenceDate)	Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).

Method Summary

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

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

getMaturity, getNameOfUnderliyng, getStrike, getUnderlyingIndex, getValue, getValues, 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, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Methods inherited from class java.lang.Object

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

Constructor Details

EuropeanOptionMonteCarlo

public EuropeanOptionMonteCarlo(SingleAssetEuropeanOptionProductDescriptor descriptor,
 LocalDate referenceDate)

Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).

Parameters:

descriptor - Implementation of SingleAssetEuropeanOptionProductDescriptor

referenceDate - The reference date to be used to convert absolute maturities to relative maturities.

Method Details

getDescriptor

public SingleAssetEuropeanOptionProductDescriptor getDescriptor()

Description copied from interface: DescribedProduct

Return a product descriptor representing this product.

Specified by:

getDescriptor in interface DescribedProduct<SingleAssetEuropeanOptionProductDescriptor>

Returns:

The product descriptor of this product.