Class EuropeanOptionDeltaLikelihood

    • Constructor Detail

      • 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).
        strike - The strike K in the option payoff max(S(T)-K,0).
        maturity - The maturity T in the option payoff max(S(T)-K,0)
    • Method Detail

      • 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.