Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.products

Class EuropeanOptionWithBoundary

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionWithBoundary

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct

public class EuropeanOptionWithBoundary
extends AbstractAssetMonteCarloProduct

Implements pricing of a European stock option.

Since:

finmath-lib 4.1.0

Version:

1.2

Author:

Christian Fries

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
class	EuropeanOptionWithBoundary.ConstantBarrier

Constructor Summary

Constructors

Constructor	Description
EuropeanOptionWithBoundary(double maturity, double strike)	Create an European option.

Method Summary

Modifier and Type	Method	Description
RandomVariable	getBoundaryAdjustment(double fromTime, double toTime, AssetModelMonteCarloSimulationModel model, RandomVariable continuationValues)
RandomVariable	getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

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

EuropeanOptionWithBoundary

public EuropeanOptionWithBoundary(double maturity,
 double strike)

Create an European option.

Parameters:

maturity - The maturity of the European option.

strike - The strike of the European option.

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.

getBoundaryAdjustment

public RandomVariable getBoundaryAdjustment(double fromTime,
 double toTime,
 AssetModelMonteCarloSimulationModel model,
 RandomVariable continuationValues)
                                     throws CalculationException

Throws:

CalculationException