Uses of Class
net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

Packages that use AbstractAssetMonteCarloProduct

Package	Description
net.finmath.modelling.productfactory	Provides classes to build products from descriptors.
net.finmath.montecarlo.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationModel.

Uses of AbstractAssetMonteCarloProduct in net.finmath.modelling.productfactory

Subclasses of AbstractAssetMonteCarloProduct in net.finmath.modelling.productfactory

Modifier and Type	Class	Description
static class	SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo	Monte-Carlo method based implementation of a digital option from a product descriptor.
static class	SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo	Monte-Carlo method based implementation of a European option from a product descriptor.

Uses of AbstractAssetMonteCarloProduct in net.finmath.montecarlo.assetderivativevaluation.products

Subclasses of AbstractAssetMonteCarloProduct in net.finmath.montecarlo.assetderivativevaluation.products

Modifier and Type	Class	Description
class	AsianOption	Implements the valuation of an Asian option.
class	BasketOption	Implements valuation of a European option on a basket of asset.
class	BermudanDigitalOption	This class implements the valuation of a Bermudan digital option paying \( N_{i} \cdot \mathbb{1}(S(T_{i}) - K_{i}) \) at \( T_{i} \), when exercised in \( T_{i} \), where \( N_{i} \) is the notional, \( \mathbb{1} \) is the indicator function, \( S \) is the underlying, \( K_{i} \) is the strike and \( T_{i} \) the exercise date.
class	BermudanOption	This class implements the valuation of a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
class	BlackScholesDeltaHedgedPortfolio	This class implements a delta hedged portfolio of an European option (a hedge simulator).
class	BlackScholesHedgedPortfolio	This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
class	DeltaHedgedPortfolioWithAAD	This class implements a delta hedged portfolio (a hedge simulator).
class	DigitalOption	Implements the valuation of a digital option on a single asset.
class	DigitalOptionDeltaLikelihood	Implements calculation of the delta of a digital option.
class	EuropeanOption	Implements the valuation of a European option on a single asset.
class	EuropeanOptionDeltaLikelihood	Implements calculation of the delta of a European option using the likelihood ratio method.
class	EuropeanOptionDeltaPathwise	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.
class	EuropeanOptionDeltaPathwiseForGeometricModel	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.
class	EuropeanOptionGammaLikelihood	Implements calculation of the delta of a European option.
class	EuropeanOptionGammaPathwise	Implements calculation of the delta of a European option using the pathwise method.
class	EuropeanOptionRhoLikelihood	Implements calculation of the delta of a European option.
class	EuropeanOptionRhoPathwise	Implements calculation of the delta of a European option using the pathwise method.
class	EuropeanOptionThetaPathwise	Implements calculation of the theta of a European option using the pathwise method.
class	EuropeanOptionVegaLikelihood	Implements calculation of the delta of a European option.
class	EuropeanOptionVegaPathwise	Implements calculation of the vega of a European option using the pathwise method.
class	EuropeanOptionWithBoundary	Implements pricing of a European stock option.
class	FiniteDifferenceDeltaHedgedPortfolio	This class implements a delta hedged portfolio of a given product (a hedge simulator).
class	FiniteDifferenceHedgedPortfolio	This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
class	ForwardAgreement	Implements the valuation of a forward on a single asset.
class	ForwardAgreementWithFundingRequirement	Implements the valuation of a forward on a single asset.
class	LocalRiskMinimizingHedgePortfolio	This class implements a mean variance hedged portfolio of a given product (a hedge simulator).

Constructors in net.finmath.montecarlo.assetderivativevaluation.products with parameters of type AbstractAssetMonteCarloProduct

Modifier	Constructor	Description
	FiniteDifferenceDeltaHedgedPortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging)	Construction of a delta hedge portfolio using finite differences on every path and in every time-step.
	FiniteDifferenceHedgedPortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, ArrayList<AbstractAssetMonteCarloProduct> hedgeProducts, FiniteDifferenceHedgedPortfolio.HedgeStrategy hedgeStrategy)	Construction of a hedge portfolio.
	LocalRiskMinimizingHedgePortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, TimeDiscretization timeDiscretizationForRebalancing, int numberOfBins)	Construction of a variance minimizing hedge portfolio.

Constructor parameters in net.finmath.montecarlo.assetderivativevaluation.products with type arguments of type AbstractAssetMonteCarloProduct

Modifier	Constructor	Description
	FiniteDifferenceHedgedPortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, ArrayList<AbstractAssetMonteCarloProduct> hedgeProducts, FiniteDifferenceHedgedPortfolio.HedgeStrategy hedgeStrategy)	Construction of a hedge portfolio.