Module net.finmath.lib
Class SingleAssetFourierProductFactory
- java.lang.Object
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- net.finmath.modelling.productfactory.SingleAssetFourierProductFactory
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- All Implemented Interfaces:
ProductFactory<SingleAssetProductDescriptor>
public class SingleAssetFourierProductFactory extends Object implements ProductFactory<SingleAssetProductDescriptor>
Product factory of single asset derivatives for use with a Fourier method based model.- Version:
- 1.0
- Author:
- Christian Fries, Roland Bachl
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
SingleAssetFourierProductFactory.DigitalOptionFourierMethod
Fourier method based implementation of a digital option from a product descriptor.static class
SingleAssetFourierProductFactory.EuropeanOptionFourierMethod
Fourier method based implementation of a European option from a product descriptor.
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Constructor Summary
Constructors Constructor Description SingleAssetFourierProductFactory(LocalDate referenceDate)
Create the product factory.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description DescribedProduct<? extends SingleAssetProductDescriptor>
getProductFromDescriptor(ProductDescriptor descriptor)
Constructs the product from a given product descriptor.
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Constructor Detail
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SingleAssetFourierProductFactory
public SingleAssetFourierProductFactory(LocalDate referenceDate)
Create the product factory.- Parameters:
referenceDate
- To be used when converting absolute dates to relative dates in double.
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Method Detail
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getProductFromDescriptor
public DescribedProduct<? extends SingleAssetProductDescriptor> getProductFromDescriptor(ProductDescriptor descriptor)
Description copied from interface:ProductFactory
Constructs the product from a given product descriptor.- Specified by:
getProductFromDescriptor
in interfaceProductFactory<SingleAssetProductDescriptor>
- Parameters:
descriptor
- A product descriptor.- Returns:
- An instance of the product describable by this descriptor.
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