Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.products

Class AbstractAssetMonteCarloProduct

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.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.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
AbstractAssetMonteCarloProduct()

Method Summary

Modifier and Type	Method	Description
abstract RandomVariable	getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
RandomVariable	getValue(double evaluationTime, MonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

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

Methods inherited from class java.lang.Object

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

Constructor Details

AbstractAssetMonteCarloProduct

public AbstractAssetMonteCarloProduct()

Method Details

getValue

public abstract RandomVariable getValue(double evaluationTime,
 AssetModelMonteCarloSimulationModel model)
                                 throws CalculationException

Specified by:

getValue in interface AssetMonteCarloProduct

Throws:

CalculationException

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

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.