Uses of Enum
net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesHedgedPortfolio.HedgeStrategy
Package
Description
Products which may be valued using an
AssetModelMonteCarloSimulationModel
.-
Uses of BlackScholesHedgedPortfolio.HedgeStrategy in net.finmath.montecarlo.assetderivativevaluation.products
Modifier and TypeMethodDescriptionReturns the enum constant of this type with the specified name.BlackScholesHedgedPortfolio.HedgeStrategy.values()
Returns an array containing the constants of this enum type, in the order they are declared.ModifierConstructorDescriptionBlackScholesHedgedPortfolio
(double maturity, double strike, double riskFreeRate, double volatility, double hedgeOptionMaturity, double hedgeOptionStrike, BlackScholesHedgedPortfolio.HedgeStrategy hedgeStrategy) Construction of a delta-gamma hedge portfolio assuming a Black-Scholes model.