Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products.components

Class Choice

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

net.finmath.montecarlo.interestrate.products.components.Choice

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class Choice
extends AbstractProductComponent

An right to choose between two underlyings. Provides the function underlying1(exerciseDate) > underlying2(exerciseDate) ? underlying1 : underlying2.

Since:

finmath-lib 4.1.0

Version:

1.1

Author:

Christian Fries

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
Choice(double exerciseDate, TermStructureMonteCarloProduct underlying1, TermStructureMonteCarloProduct underlying2)	Creates the function underlying1(exerciseDate) > underlying2(exerciseDate) ? underlying1 : underlying2.

Method Summary

Modifier and Type	Method	Description
RandomVariable	getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
Set<String>	queryUnderlyings()	Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

getExecutor, getValues

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData

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

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Details

Choice

public Choice(double exerciseDate,
 TermStructureMonteCarloProduct underlying1,
 TermStructureMonteCarloProduct underlying2)

Creates the function underlying1(exerciseDate) > underlying2(exerciseDate) ? underlying1 : underlying2.

Parameters:

exerciseDate - The exercise date at which the option is exercised.

underlying1 - The first underlying to choose of.

underlying2 - The second underlying to choose of.

Method Details

queryUnderlyings

public Set<String> queryUnderlyings()

Description copied from class: AbstractProductComponent

Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

Specified by:

queryUnderlyings in class AbstractProductComponent

Returns:

A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.

getValue

public RandomVariable getValue(double evaluationTime,
 TermStructureMonteCarloSimulationModel 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 TermStructureMonteCarloProduct

Specified by:

getValue in class AbstractTermStructureMonteCarloProduct

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.