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

Class EuropeanOptionDeltaPathwiseForGeometricModel

java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionDeltaPathwiseForGeometricModel
All Implemented Interfaces:
Product, AssetMonteCarloProduct, MonteCarloProduct
public class EuropeanOptionDeltaPathwiseForGeometricModel extends AbstractAssetMonteCarloProduct
Implements calculation of the delta of a European option using the path-wise method, assuming that the underlying follows a model where
d S(T)/d S(0) = S(T)/S(0),
e.g., Black-Scholes.
Since:
finmath-lib 4.2.0
Version:
1.1
Author:
Christian Fries

  • Constructor Details

    • EuropeanOptionDeltaPathwiseForGeometricModel

      public EuropeanOptionDeltaPathwiseForGeometricModel(double maturity, double strike)
      Construct a product representing the delta of an European option on an asset S (where S the asset with index 0 from the model - single asset case). The delta is calculated using the path-wise method, assuming that the underlying follows a model where
      d S(T)/d S(0) = S(T)/S(0),
      e.g., Black-Scholes.
      Parameters:
      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
      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.