Module net.finmath.lib
Package net.finmath.montecarlo

Class AbstractMonteCarloProduct

java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
All Implemented Interfaces:
Product, MonteCarloProduct
Direct Known Subclasses:
AbstractAssetMonteCarloProduct, AbstractTermStructureMonteCarloProduct, HybridAssetMonteCarloProduct, PortfolioMonteCarloProduct, SwaprateCovarianceAnalyticApproximation
public abstract class AbstractMonteCarloProduct extends Object implements MonteCarloProduct
Base class for products requiring an MonteCarloSimulationModel for valuation.
Version:
1.0
Author:
Christian Fries

  • Constructor Details

    • AbstractMonteCarloProduct

      public AbstractMonteCarloProduct​(String currency)

    • AbstractMonteCarloProduct

      public AbstractMonteCarloProduct()

  • Method Details

    • getValue

      public Object 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 MonteCarloProduct
      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

      public 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 MonteCarloProduct
      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

      public abstract RandomVariable getValue​(double evaluationTime, MonteCarloSimulationModel model) throws CalculationException
      Description copied from interface: MonteCarloProduct
      This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. 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. More generally: The value random variable is a random variable V*(t) such that the time-t conditional expectation of V*(t) is equal to the value of the financial product in time t. An example for V*(t) is the sum of t-discounted payoffs. Cashflows prior evaluationTime are not considered.
      Specified by:
      getValue in interface MonteCarloProduct
      Parameters:
      evaluationTime - The time on which this products value should be observed.
      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.

    • getValue

      public double getValue​(MonteCarloSimulationModel model) throws CalculationException
      Description copied from interface: MonteCarloProduct
      This method returns the value of the product under the specified model.
      Specified by:
      getValue in interface MonteCarloProduct
      Parameters:
      model - A model used to evaluate the product.
      Returns:
      The value of the product.
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getValues

      public Map<String,​Object> getValues​(double evaluationTime, MonteCarloSimulationModel model) throws CalculationException
      Description copied from interface: MonteCarloProduct
      This method returns the value of the product under the specified model and other information in a key-value map.
      Specified by:
      getValues in interface MonteCarloProduct
      Parameters:
      evaluationTime - The time on which this products value should be observed.
      model - A model used to evaluate the product.
      Returns:
      The values of the product.
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getValuesForModifiedData

      public Map<String,​Object> getValuesForModifiedData​(double evaluationTime, MonteCarloSimulationModel model, Map<String,​Object> dataModified) throws CalculationException
      Description copied from interface: MonteCarloProduct
      This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
      Specified by:
      getValuesForModifiedData in interface MonteCarloProduct
      Parameters:
      evaluationTime - The time on which this products value should be observed.
      model - The model used to price the product, except for the market data to modify
      dataModified - The new market data object to use (could be of different types)
      Returns:
      The values of the product.
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getValuesForModifiedData

      public Map<String,​Object> getValuesForModifiedData​(double evaluationTime, MonteCarloSimulationModel model, String entityKey, Object dataModified) throws CalculationException
      Description copied from interface: MonteCarloProduct
      This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
      Specified by:
      getValuesForModifiedData in interface MonteCarloProduct
      Parameters:
      evaluationTime - The time on which this products value should be observed.
      model - The model used to price the product, except for the market data to modify
      entityKey - The entity to change, it depends on the model if the model reacts to this key.
      dataModified - The new market data object to use (could be of different types)
      Returns:
      The values of the product.
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getValues

      public Map<String,​Object> getValues​(MonteCarloSimulationModel model) throws CalculationException
      Description copied from interface: MonteCarloProduct
      This method returns the value of the product under the specified model and other information in a key-value map.
      Specified by:
      getValues in interface MonteCarloProduct
      Parameters:
      model - A model used to evaluate the product.
      Returns:
      The values of the product.
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getValuesForModifiedData

      public Map<String,​Object> getValuesForModifiedData​(MonteCarloSimulationModel model, Map<String,​Object> dataModified) throws CalculationException
      Description copied from interface: MonteCarloProduct
      This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
      Specified by:
      getValuesForModifiedData in interface MonteCarloProduct
      Parameters:
      model - The model used to price the product, except for the market data to modify
      dataModified - The new market data object to use (could be of different types)
      Returns:
      The values of the product.
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getValuesForModifiedData

      public Map<String,​Object> getValuesForModifiedData​(MonteCarloSimulationModel model, String entityKey, Object dataModified) throws CalculationException
      Description copied from interface: MonteCarloProduct
      This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
      Specified by:
      getValuesForModifiedData in interface MonteCarloProduct
      Parameters:
      model - The model used to price the product, except for the market data to modify
      entityKey - The entity to change, it depends on the model if the model reacts to this key.
      dataModified - The new market data object to use (could be of different types)
      Returns:
      The values of the product.
      Throws:
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

    • getCurrency

      public String getCurrency()
      Description copied from interface: MonteCarloProduct
      Returns the currency string of this product.
      Specified by:
      getCurrency in interface MonteCarloProduct
      Returns:
      the currency

    • toString

      public String toString()
      Overrides:
      toString in class Object