Class Option

    • Constructor Detail

      • Option

        public Option​(double exerciseDate,
                      double strikePrice,
                      boolean isCall,
                      AbstractLIBORMonteCarloProduct underlying,
                      RegressionBasisFunctionsProvider regressionBasisFunctionsProvider)
        Creates the function underlying(exerciseDate) ≥ strikePrice ? underlying : strikePrice
        Parameters:
        exerciseDate - The exercise date of the option (given as a double).
        strikePrice - The strike price.
        isCall - If true, the function implements is underlying(exerciseDate) ≥ strikePrice ? underlying : strikePrice. Otherwise it is underlying(exerciseDate) < strikePrice ? underlying : strikePrice.
        underlying - The underlying.
        regressionBasisFunctionsProvider - Used to determine the regression basis functions for the conditional expectation operator.
      • Option

        public Option​(double exerciseDate,
                      boolean isCall,
                      TermStructureMonteCarloProduct strikeProduct,
                      AbstractLIBORMonteCarloProduct underlying,
                      RegressionBasisFunctionsProvider regressionBasisFunctionsProvider)
        Creates the function underlying(exerciseDate) ≥ strikeProduct ? underlying : strikeProduct
        Parameters:
        exerciseDate - The exercise date of the option (given as a double).
        isCall - If true, the function implements is underlying(exerciseDate) ≥ strikePrice ? underlying : strikePrice. Otherwise it is underlying(exerciseDate) < strikePrice ? underlying : strikePrice.
        strikeProduct - The strike (can be a general AbstractLIBORMonteCarloProduct).
        underlying - The underlying.
        regressionBasisFunctionsProvider - Used to determine the regression basis functions for the conditional expectation operator.
      • Option

        public Option​(double exerciseDate,
                      boolean isCall,
                      TermStructureMonteCarloProduct strikeProduct,
                      AbstractLIBORMonteCarloProduct underlying)
        Creates the function underlying(exerciseDate) ≥ strikeProduct ? underlying : strikeProduct
        Parameters:
        exerciseDate - The exercise date of the option (given as a double).
        isCall - If true, the function implements is underlying(exerciseDate) ≥ strikePrice ? underlying : strikePrice. Otherwise it is underlying(exerciseDate) < strikePrice ? underlying : strikePrice.
        strikeProduct - The strike (can be a general AbstractLIBORMonteCarloProduct).
        underlying - The underlying.
      • Option

        public Option​(double exerciseDate,
                      double strikePrice,
                      boolean isCall,
                      AbstractLIBORMonteCarloProduct underlying)
        Creates the function underlying(exerciseDate) ≥ strikePrice ? underlying : strikePrice
        Parameters:
        exerciseDate - The exercise date of the option (given as a double).
        strikePrice - The strike price.
        isCall - If true, the function implements is underlying(exerciseDate) ≥ strikePrice ? underlying : strikePrice. Otherwise it is underlying(exerciseDate) < strikePrice ? underlying : strikePrice.
        underlying - The underlying.
      • Option

        public Option​(double exerciseDate,
                      double strikePrice,
                      AbstractLIBORMonteCarloProduct underlying)
        Creates the function underlying(exerciseDate) ≥ strikePrice ? underlying : strikePrice
        Parameters:
        exerciseDate - The exercise date of the option (given as a double).
        strikePrice - The strike price.
        underlying - The underlying.
      • Option

        public Option​(double exerciseDate,
                      AbstractLIBORMonteCarloProduct underlying)
        Creates the function underlying(exerciseDate) ≥ 0 ? underlying : 0
        Parameters:
        exerciseDate - The exercise date of the option (given as a double).
        underlying - The underlying.