Module net.finmath.lib

Package net.finmath.modelling.productfactory

Class SingleAssetFourierProductFactory.EuropeanOptionFourierMethod

java.lang.Object

net.finmath.fouriermethod.products.AbstractFourierTransformProduct

net.finmath.fouriermethod.products.EuropeanOption

net.finmath.modelling.productfactory.SingleAssetFourierProductFactory.EuropeanOptionFourierMethod

All Implemented Interfaces:

Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>, CharacteristicFunction, FourierTransformProduct, DescribedProduct<SingleAssetEuropeanOptionProductDescriptor>, Product

Enclosing class:

SingleAssetFourierProductFactory

public static class SingleAssetFourierProductFactory.EuropeanOptionFourierMethod
extends EuropeanOption
implements DescribedProduct<SingleAssetEuropeanOptionProductDescriptor>

Fourier method based implementation of a European option from a product descriptor.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
EuropeanOptionFourierMethod(SingleAssetEuropeanOptionProductDescriptor descriptor, LocalDate referenceDate)	Create the product from a descriptor.

Method Summary

Modifier and Type	Method	Description
SingleAssetEuropeanOptionProductDescriptor	getDescriptor()	Return a product descriptor representing this product.

Methods inherited from class net.finmath.fouriermethod.products.EuropeanOption

apply, getIntegrationDomainImagLowerBound, getIntegrationDomainImagUpperBound, getMaturity

Methods inherited from class net.finmath.fouriermethod.products.AbstractFourierTransformProduct

getValue, getValue, getValues

Methods inherited from class java.lang.Object

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

Methods inherited from interface java.util.function.Function

andThen, compose

Constructor Detail

EuropeanOptionFourierMethod

public EuropeanOptionFourierMethod(SingleAssetEuropeanOptionProductDescriptor descriptor,
                                   LocalDate referenceDate)

Create the product from a descriptor.

Parameters:

descriptor - A descriptor of the product.

referenceDate - the reference date to be used when converting dates to doubles.

Method Detail

getDescriptor

public SingleAssetEuropeanOptionProductDescriptor getDescriptor()

Description copied from interface: DescribedProduct

Return a product descriptor representing this product.

Specified by:

getDescriptor in interface DescribedProduct<SingleAssetEuropeanOptionProductDescriptor>

Returns:

The product descriptor of this product.