Module net.finmath.lib
Class SingleAssetFourierProductFactory.DigitalOptionFourierMethod
- java.lang.Object
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- net.finmath.fouriermethod.products.AbstractFourierTransformProduct
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- net.finmath.fouriermethod.products.DigitalOption
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- net.finmath.modelling.productfactory.SingleAssetFourierProductFactory.DigitalOptionFourierMethod
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- All Implemented Interfaces:
Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>
,CharacteristicFunction
,FourierTransformProduct
,DescribedProduct<SingleAssetDigitalOptionProductDescriptor>
,Product
- Enclosing class:
- SingleAssetFourierProductFactory
public static class SingleAssetFourierProductFactory.DigitalOptionFourierMethod extends DigitalOption implements DescribedProduct<SingleAssetDigitalOptionProductDescriptor>
Fourier method based implementation of a digital option from a product descriptor.- Author:
- Christian Fries, Roland Bachl
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Constructor Summary
Constructors Constructor Description DigitalOptionFourierMethod(SingleAssetDigitalOptionProductDescriptor descriptor, LocalDate referenceDate)
Create product from descriptor.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description SingleAssetDigitalOptionProductDescriptor
getDescriptor()
Return a product descriptor representing this product.-
Methods inherited from class net.finmath.fouriermethod.products.DigitalOption
apply, getIntegrationDomainImagLowerBound, getIntegrationDomainImagUpperBound, getMaturity
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Methods inherited from class net.finmath.fouriermethod.products.AbstractFourierTransformProduct
getValue, getValue, getValues
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Constructor Detail
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DigitalOptionFourierMethod
public DigitalOptionFourierMethod(SingleAssetDigitalOptionProductDescriptor descriptor, LocalDate referenceDate)
Create product from descriptor.- Parameters:
descriptor
- The descriptor of the product.referenceDate
- The reference date of the data for the valuation, used to convert absolute date to relative dates in double representation.
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Method Detail
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getDescriptor
public SingleAssetDigitalOptionProductDescriptor getDescriptor()
Description copied from interface:DescribedProduct
Return a product descriptor representing this product.- Specified by:
getDescriptor
in interfaceDescribedProduct<SingleAssetDigitalOptionProductDescriptor>
- Returns:
- The product descriptor of this product.
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