Module net.finmath.lib
Package net.finmath.montecarlo.assetderivativevaluation.products

Class DeltaHedgedPortfolioWithAAD

java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD
All Implemented Interfaces:
Product, AssetMonteCarloProduct, MonteCarloProduct
public class DeltaHedgedPortfolioWithAAD extends AbstractAssetMonteCarloProduct
This class implements a delta hedged portfolio (a hedge simulator). The delta hedge uses numerical calculation of the delta and - in theory - works for any model implementing AssetModelMonteCarloSimulationModel and any product implementing AbstractAssetMonteCarloProduct. The results however somewhat depend on the choice of the internal regression basis functions. 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 Details

    • DeltaHedgedPortfolioWithAAD

      public DeltaHedgedPortfolioWithAAD​(AssetMonteCarloProduct productToReplicate, int numberOfBins)
      Construction of a delta hedge portfolio. The delta hedge uses numerical calculation of the delta and - in theory - works for any model implementing AssetModelMonteCarloSimulationModel and any product implementing AbstractAssetMonteCarloProduct. The results however somewhat depend on the choice of the internal regression basis functions.
      Parameters:
      productToReplicate - The product for which the replication portfolio should be build. May be any product implementing the AbstractAssetMonteCarloProduct interface.
      numberOfBins - The number of bins used to aggregate the conditional expectation of the delta.

    • DeltaHedgedPortfolioWithAAD

      public DeltaHedgedPortfolioWithAAD​(AssetMonteCarloProduct productToReplicate)
      Construction of a delta hedge portfolio. The delta hedge uses numerical calculation of the delta and - in theory - works for any model implementing AssetModelMonteCarloSimulationModel and any product implementing AbstractAssetMonteCarloProduct. The results however somewhat depend on the choice of the internal regression basis functions.
      Parameters:
      productToReplicate - The product for which the replication portfolio should be build. May be any product implementing the AbstractAssetMonteCarloProduct interface.

  • Method Details