Class EuropeanOptionDeltaLikelihood

All Implemented Interfaces:
Product, AssetMonteCarloProduct, MonteCarloProduct

public class EuropeanOptionDeltaLikelihood extends AbstractAssetMonteCarloProduct
Implements calculation of the delta of a European option using the likelihood ratio method.
finmath-lib 4.1.0
Christian Fries
  • Constructor Details

    • EuropeanOptionDeltaLikelihood

      public EuropeanOptionDeltaLikelihood(double maturity, double strike)
      Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
      maturity - The maturity T in the option payoff max(S(T)-K,0)
      strike - The strike K in the option payoff max(S(T)-K,0).
  • Method Details

    • getValue

      public RandomVariable getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) throws CalculationException
      This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: 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. Cashflows prior evaluationTime are not considered.
      Specified by:
      getValue in interface AssetMonteCarloProduct
      Specified by:
      getValue in class AbstractAssetMonteCarloProduct
      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.