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

Class WorstOfExpressCertificate

java.lang.Object
net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate
All Implemented Interfaces:
Product
public class WorstOfExpressCertificate extends Object implements Product
Version:
1.0
Author:
Christian Fries

  • Constructor Details

    • WorstOfExpressCertificate

      public WorstOfExpressCertificate​(double maturity, double[] baseLevels, double[] exerciseDates, double[] triggerLevels, double[] redemption, double redemptionFinal)

  • Method Details

    • getValue

      public Object getValue​(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:
      getValue in interface Product
      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:
      Object containing the value of the product using the given model.

    • getValue

      public double getValue​(double evaluationTime, HybridAssetLIBORModelMonteCarloSimulation model) throws CalculationException
      Throws:
      CalculationException