Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.products

Class EuropeanOptionVegaPathwise

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionVegaPathwise

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct

public class EuropeanOptionVegaPathwise
extends AbstractAssetMonteCarloProduct

Implements calculation of the vega 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
EuropeanOptionVegaPathwise(double maturity, double strike)	Construct a product representing the vega of a European option on an asset S.

Method Summary

Modifier and Type	Method	Description
RandomVariable	getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
double	getValue(AssetModelMonteCarloSimulationModel model)	Calculates the vega of the option under a given model using the pathwise method.

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

EuropeanOptionVegaPathwise

public EuropeanOptionVegaPathwise(double maturity,
 double strike)

Construct a product representing the vega of a European option on an asset S. The implementation assumes a Black-Scholes model.

Parameters:

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 Details

getValue

public double getValue(AssetModelMonteCarloSimulationModel model)
                throws CalculationException

Calculates the vega of the option under a given model using the pathwise method.

Parameters:

model - A reference to a model

Returns:

the value

Throws:

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

getValue

public RandomVariable getValue(double evaluationTime,
 AssetModelMonteCarloSimulationModel model)

Specified by:

getValue in interface AssetMonteCarloProduct

Specified by:

getValue in class AbstractAssetMonteCarloProduct