Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.products

Class BlackScholesDeltaHedgedPortfolio

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct

public class BlackScholesDeltaHedgedPortfolio
extends AbstractAssetMonteCarloProduct

This class implements a delta hedged portfolio of an European option (a hedge simulator). The hedge is done under the assumption of a Black Scholes Model (even if the pricing model is a different one). The getValue-method returns the random variable \( \Pi(t) \) representing the value of the replication portfolio \( \Pi(t) = \phi_0(t) N(t) + \phi_1(t) S(t) \).

Version:

1.1

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
BlackScholesDeltaHedgedPortfolio(double maturity, double strike, double riskFreeRate, double volatility)	Construction of a delta hedge portfolio assuming a Black-Scholes model.

Method Summary

Modifier and Type	Method	Description
RandomVariable	getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)

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, toString

Methods inherited from class java.lang.Object

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

Constructor Details

BlackScholesDeltaHedgedPortfolio

public BlackScholesDeltaHedgedPortfolio(double maturity,
 double strike,
 double riskFreeRate,
 double volatility)

Construction of a delta hedge portfolio assuming a Black-Scholes model.

Parameters:

maturity - Maturity of the option we wish to replicate.

strike - Strike of the option we wish to replicate.

riskFreeRate - Model riskFreeRate assumption for our delta hedge.

volatility - Model volatility assumption for our delta hedge.

Method Details

getValue

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

Specified by:

getValue in interface AssetMonteCarloProduct

Specified by:

getValue in class AbstractAssetMonteCarloProduct

Throws:

CalculationException