Module net.finmath.lib

Package net.finmath.fouriermethod.models

Class BlackScholesModel

java.lang.Object

net.finmath.fouriermethod.models.BlackScholesModel

All Implemented Interfaces:

CharacteristicFunctionModel, Model

public class BlackScholesModel
extends Object
implements CharacteristicFunctionModel

Implements the characteristic function of a Black Scholes model.

Version:

1.0

Author:

Christian Fries, Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
BlackScholesModel(double initialValue, double riskFreeRate, double volatility)	Create a Black Scholes model (characteristic function)
BlackScholesModel(double initialValue, double riskFreeRate, double discountRate, double volatility)	Create a Black Scholes model (characteristic function)
BlackScholesModel(LocalDate referenceDate, double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double volatility)	Create a Black Scholes model (characteristic function)

Method Summary

Modifier and Type	Method	Description
CharacteristicFunction	apply(double time)	Returns the characteristic function of X(t), where X is this stochastic process.
DiscountCurve	getDiscountCurveForDiscountRate()
DiscountCurve	getDiscountCurveForForwardRate()
double	getDiscountRate()
double	getInitialValue()
LocalDate	getReferenceDate()
double	getRiskFreeRate()
double	getVolatility()
String	toString()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Details

BlackScholesModel

public BlackScholesModel(LocalDate referenceDate, double initialValue, DiscountCurve discountCurveForForwardRate, DiscountCurve discountCurveForDiscountRate, double volatility)

Create a Black Scholes model (characteristic function)

Parameters:

referenceDate - The date representing the time t = 0. All other double times are following FloatingpointDate.

initialValue - \( S_{0} \) - spot - initial value of S

discountCurveForForwardRate - The curve specifying \( t \mapsto exp(- r^{\text{c}}(t) \cdot t) \) - with \( r^{\text{c}}(t) \) the risk free rate

discountCurveForDiscountRate - The curve specifying \( t \mapsto exp(- r^{\text{d}}(t) \cdot t) \) - with \( r^{\text{d}}(t) \) the discount rate

volatility - \( \sigma \) the volatility level

BlackScholesModel

public BlackScholesModel(double initialValue, double riskFreeRate, double discountRate, double volatility)

Create a Black Scholes model (characteristic function)

Parameters:

initialValue - \( S_{0} \) - spot - initial value of S

riskFreeRate - \( r^{\text{c}} \) - the risk free rate

discountRate - \( r^{\text{d}} \) - the discount rate

volatility - \( \sigma \) the volatility level

BlackScholesModel

public BlackScholesModel(double initialValue, double riskFreeRate, double volatility)

Create a Black Scholes model (characteristic function)

Parameters:

initialValue - \( S_{0} \) - spot - initial value of S

riskFreeRate - \( r^{\text{c}} \) - the risk free rate

volatility - \( \sigma \) the volatility level

Method Details

apply

public CharacteristicFunction apply(double time)

Description copied from interface: CharacteristicFunctionModel

Returns the characteristic function of X(t), where X is this stochastic process.

Specified by:

apply in interface CharacteristicFunctionModel

Parameters:

time - The time at which the stochastic process is observed.

Returns:

The characteristic function of X(t).

getReferenceDate

public LocalDate getReferenceDate()

Returns:

the referenceDate

getInitialValue

public double getInitialValue()

Returns:

the initialValue

getDiscountCurveForForwardRate

public DiscountCurve getDiscountCurveForForwardRate()

Returns:

the discountCurveForForwardRate

getRiskFreeRate

public double getRiskFreeRate()

Returns:

the riskFreeRate

getDiscountCurveForDiscountRate

public DiscountCurve getDiscountCurveForDiscountRate()

Returns:

the discountCurveForDiscountRate

getDiscountRate

public double getDiscountRate()

Returns:

the discountRate

getVolatility

public double getVolatility()

Returns:

the volatility

toString

public String toString()

Overrides:

toString in class Object