Module net.finmath.lib
Interface SmileByIntegralTransform
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- All Superinterfaces:
CharacteristicFunction
,Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>
- All Known Implementing Classes:
EuropeanOptionSmile
,EuropeanOptionSmileByCarrMadan
public interface SmileByIntegralTransform extends CharacteristicFunction
Base interface for Fourier-based valuations. The particular feature is given by the method getValue, that returns a collection of prices.- Author:
- Alessandro Gnoatto
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description double
getIntegrationDomainImagLowerBound()
Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.double
getIntegrationDomainImagUpperBound()
Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.double
getMaturity()
Return the maturity of the associated payoff.Map<String,Function<Double,Double>>
getValue(double evaluationTime, CharacteristicFunctionModel model)
Return the value of a family of options with the same maturity for different strikes.
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Method Detail
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getMaturity
double getMaturity()
Return the maturity of the associated payoff.- Returns:
- The maturity of the associated payoff.
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getIntegrationDomainImagLowerBound
double getIntegrationDomainImagLowerBound()
Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.- Returns:
- the lower bound of the imaginary part of the domain of integration.
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getIntegrationDomainImagUpperBound
double getIntegrationDomainImagUpperBound()
Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.- Returns:
- the upper bound of the imaginary part of the domain of integration.
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getValue
Map<String,Function<Double,Double>> getValue(double evaluationTime, CharacteristicFunctionModel model) throws CalculationException
Return the value of a family of options with the same maturity for different strikes.- Parameters:
evaluationTime
- The evaluation time.model
- The model against which the product should be values.- Returns:
- The map of product values mapping from strike to value.
- Throws:
CalculationException
- Thrown if the valuation failed.
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