- java.lang.Object
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- net.finmath.finitedifference.products.FDMEuropeanCallOption
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- All Implemented Interfaces:
FiniteDifference1DBoundary
,FiniteDifference1DProduct
,Product
public class FDMEuropeanCallOption extends Object implements FiniteDifference1DProduct, FiniteDifference1DBoundary
Implementation of a European option to be valued by a the finite difference method.- Version:
- 1.0
- Author:
- Christian Fries, Ralph Rudd
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Constructor Summary
Constructors Constructor Description FDMEuropeanCallOption(double optionMaturity, double optionStrike)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double[][]
getValue(double evaluationTime, FiniteDifference1DModel model)
Return the value of the product under the given model.double
getValueAtLowerBoundary(FiniteDifference1DModel model, double currentTime, double stockPrice)
Return the value of the value process at the lower boundary for a given time and asset value.double
getValueAtUpperBoundary(FiniteDifference1DModel model, double currentTime, double stockPrice)
Return the value of the value process at the upper boundary for a given time and asset value.-
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Methods inherited from interface net.finmath.finitedifference.products.FiniteDifference1DProduct
getValue
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Method Detail
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getValue
public double[][] getValue(double evaluationTime, FiniteDifference1DModel model)
Description copied from interface:FiniteDifference1DProduct
Return the value of the product under the given model.- Specified by:
getValue
in interfaceFiniteDifference1DProduct
- Parameters:
evaluationTime
- The time at which the value (valuation) is requested.model
- The model under which the valuation should be performed.- Returns:
- The random variable representing the valuation result.
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getValueAtLowerBoundary
public double getValueAtLowerBoundary(FiniteDifference1DModel model, double currentTime, double stockPrice)
Description copied from interface:FiniteDifference1DBoundary
Return the value of the value process at the lower boundary for a given time and asset value.- Specified by:
getValueAtLowerBoundary
in interfaceFiniteDifference1DBoundary
- Parameters:
model
- The model which uses the boundary condition (provides model parameters)currentTime
- The time at which the boundary is observed.stockPrice
- The value of the asset specifying the location of the boundary.- Returns:
- the value process at the lower boundary
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getValueAtUpperBoundary
public double getValueAtUpperBoundary(FiniteDifference1DModel model, double currentTime, double stockPrice)
Description copied from interface:FiniteDifference1DBoundary
Return the value of the value process at the upper boundary for a given time and asset value.- Specified by:
getValueAtUpperBoundary
in interfaceFiniteDifference1DBoundary
- Parameters:
model
- TODOcurrentTime
- The time at which the boundary is observed.stockPrice
- The value of the asset specifying the location of the boundary.- Returns:
- the value process at the upper boundary
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