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

Class ForwardAgreementWithFundingRequirement

java.lang.Object
net.finmath.montecarlo.AbstractMonteCarloProduct
net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
net.finmath.montecarlo.assetderivativevaluation.products.ForwardAgreementWithFundingRequirement
All Implemented Interfaces:
Product, AssetMonteCarloProduct, MonteCarloProduct
public class ForwardAgreementWithFundingRequirement extends AbstractAssetMonteCarloProduct
Implements the valuation of a forward on a single asset. Given a model for an asset S, the Forward Agreement with forward K, maturity T pays
V(T) = S(T) - K in T.
The getValue method of this class will return the random variable N(t) * V(T) / N(T), where N is the numeraire provided by the model. If N(t) is deterministic, calling getAverage on this random variable will result in the value. Otherwise a conditional expectation has to be applied.
Version:
1.3
Author:
Christian Fries

  • Constructor Details

    • ForwardAgreementWithFundingRequirement

      public ForwardAgreementWithFundingRequirement​(String underlyingName, double maturity, double forwardValue, FundingCapacity fundingCapacity)
      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:
      underlyingName - Name of the underlying
      maturity - The maturity T in the option payoff S(T)-K
      forwardValue - The strike K in the option payoff S(T)-K.
      fundingCapacity - A funding capacity monitor.

    • ForwardAgreementWithFundingRequirement

      public ForwardAgreementWithFundingRequirement​(double maturity, double forwardValue, int underlyingIndex, FundingCapacity fundingCapacity)
      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)
      forwardValue - The strike K in the option payoff max(S(T)-K,0).
      underlyingIndex - The index of the underlying to be fetched from the model.
      fundingCapacity - A funding capacity monitor.

    • ForwardAgreementWithFundingRequirement

      public ForwardAgreementWithFundingRequirement​(double maturity, double forwardValue)
      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)
      forwardValue - 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.

    • getValues

      public Map<String,​Object> getValues​(double evaluationTime, Model model)
      Description copied from interface: Product
      Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.
      Specified by:
      getValues in interface MonteCarloProduct
      Specified by:
      getValues in interface Product
      Overrides:
      getValues in class AbstractMonteCarloProduct
      Parameters:
      evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.
      model - The model under which the product is valued.
      Returns:
      Map containing the value of the product using the given model.