Class AbstractAssetMonteCarloProduct

All Implemented Interfaces:
Product, AssetMonteCarloProduct, MonteCarloProduct
Direct Known Subclasses:
AsianOption, BasketOption, BermudanDigitalOption, BermudanOption, BlackScholesDeltaHedgedPortfolio, BlackScholesHedgedPortfolio, DeltaHedgedPortfolioWithAAD, DigitalOption, DigitalOptionDeltaLikelihood, EuropeanOption, EuropeanOptionDeltaLikelihood, EuropeanOptionDeltaPathwise, EuropeanOptionDeltaPathwiseForGeometricModel, EuropeanOptionGammaLikelihood, EuropeanOptionGammaPathwise, EuropeanOptionRhoLikelihood, EuropeanOptionRhoPathwise, EuropeanOptionThetaPathwise, EuropeanOptionVegaLikelihood, EuropeanOptionVegaPathwise, EuropeanOptionWithBoundary, FiniteDifferenceDeltaHedgedPortfolio, FiniteDifferenceHedgedPortfolio, ForwardAgreement, ForwardAgreementWithFundingRequirement, LocalRiskMinimizingHedgePortfolio

public abstract class AbstractAssetMonteCarloProduct extends AbstractMonteCarloProduct implements AssetMonteCarloProduct
Base class for products requiring an AssetModelMonteCarloSimulationModel for valuation.
Christian Fries
  • Constructor Details

    • AbstractAssetMonteCarloProduct

      public AbstractAssetMonteCarloProduct()
  • Method Details

    • getValue

      public abstract RandomVariable getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) throws CalculationException
      Specified by:
      getValue in interface AssetMonteCarloProduct
    • getValue

      public 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
      Specified by:
      getValue in class AbstractMonteCarloProduct
      evaluationTime - The time on which this products value should be observed.
      model - The model used to price the product.
      The random variable representing the value of the product discounted to evaluation time
      CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.