Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.products

Class EuropeanOptionThetaPathwise

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionThetaPathwise

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct

public class EuropeanOptionThetaPathwise
extends AbstractAssetMonteCarloProduct

Implements calculation of the theta of a European option using the pathwise method.

Since:

finmath-lib 4.2.0

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
EuropeanOptionThetaPathwise(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).

Method Summary

Modifier and Type	Method	Description
RandomVariable	getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
double	getValue(AssetModelMonteCarloSimulationModel model)	Calculates the theta of the option under a given 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

EuropeanOptionThetaPathwise

public EuropeanOptionThetaPathwise(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).

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 double getValue(AssetModelMonteCarloSimulationModel model)
                throws CalculationException

Calculates the theta of the option under a given model.

Parameters:

model - A reference to a model

Returns:

the value

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValue

public RandomVariable getValue(double evaluationTime,
 AssetModelMonteCarloSimulationModel model)

Specified by:

getValue in interface AssetMonteCarloProduct

Specified by:

getValue in class AbstractAssetMonteCarloProduct