Module net.finmath.lib

Package net.finmath.montecarlo

Class AbstractMonteCarloProduct

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

All Implemented Interfaces:

Product, MonteCarloProduct

Direct Known Subclasses:

AbstractAssetMonteCarloProduct, AbstractLIBORMonteCarloProduct, HybridAssetMonteCarloProduct, PortfolioMonteCarloProduct, SwaprateCovarianceAnalyticApproximation

public abstract class AbstractMonteCarloProduct
extends Object
implements MonteCarloProduct

Base class for products requiring an MonteCarloSimulationModel for valuation.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
AbstractMonteCarloProduct()
AbstractMonteCarloProduct(String currency)

Method Summary

Modifier and Type	Method	Description
String	getCurrency()	Returns the currency string of this product.
Object	getValue(double evaluationTime, Model model)	Return the valuation of the product using the given model.
abstract RandomVariable	getValue(double evaluationTime, MonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
double	getValue(MonteCarloSimulationModel model)	This method returns the value of the product under the specified model.
Map<String,Object>	getValues(double evaluationTime, Model model)	Return the valuation of the product using the given model.
Map<String,Object>	getValues(double evaluationTime, MonteCarloSimulationModel model)	This method returns the value of the product under the specified model and other information in a key-value map.
Map<String,Object>	getValues(MonteCarloSimulationModel model)	This method returns the value of the product under the specified model and other information in a key-value map.
Map<String,Object>	getValuesForModifiedData(double evaluationTime, MonteCarloSimulationModel model, String entityKey, Object dataModified)	This method returns the value under shifted market data (or model parameters).
Map<String,Object>	getValuesForModifiedData(double evaluationTime, MonteCarloSimulationModel model, Map<String,Object> dataModified)	This method returns the value under shifted market data (or model parameters).
Map<String,Object>	getValuesForModifiedData(MonteCarloSimulationModel model, String entityKey, Object dataModified)	This method returns the value under shifted market data (or model parameters).
Map<String,Object>	getValuesForModifiedData(MonteCarloSimulationModel model, Map<String,Object> dataModified)	This method returns the value under shifted market data (or model parameters).
String	toString()

Methods inherited from class java.lang.Object

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

Constructor Detail

AbstractMonteCarloProduct

public AbstractMonteCarloProduct(String currency)

AbstractMonteCarloProduct

public AbstractMonteCarloProduct()

Method Detail

getValue

public Object getValue(double evaluationTime,
                       Model model)

Description copied from interface: Product

Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.

Specified by:

getValue in interface MonteCarloProduct

Specified by:

getValue in interface Product

Parameters:

evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.

model - The model under which the product is valued.

Returns:

Object containing the value of the product using the given model.

getValues

public Map<String,Object> getValues(double evaluationTime,
                                          Model model)

Description copied from interface: Product

Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.

Specified by:

getValues in interface MonteCarloProduct

Specified by:

getValues in interface Product

Parameters:

evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.

model - The model under which the product is valued.

Returns:

Map containing the value of the product using the given model.

getValue

public abstract RandomVariable getValue(double evaluationTime,
                                        MonteCarloSimulationModel model)
                                 throws CalculationException

Description copied from interface: MonteCarloProduct

This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. More generally: The value random variable is a random variable V^*(t) such that the time-t conditional expectation of V^*(t) is equal to the value of the financial product in time t. An example for V^*(t) is the sum of t-discounted payoffs. Cashflows prior evaluationTime are not considered.

Specified by:

getValue in interface MonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product.

Returns:

The random variable representing the value of the product discounted to evaluation time

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValue

public double getValue(MonteCarloSimulationModel model)
                throws CalculationException

Description copied from interface: MonteCarloProduct

This method returns the value of the product under the specified model.

Specified by:

getValue in interface MonteCarloProduct

Parameters:

model - A model used to evaluate the product.

Returns:

The value of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValues

public Map<String,Object> getValues(double evaluationTime,
                                          MonteCarloSimulationModel model)
                                   throws CalculationException

Description copied from interface: MonteCarloProduct

This method returns the value of the product under the specified model and other information in a key-value map.

Specified by:

getValues in interface MonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

model - A model used to evaluate the product.

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValuesForModifiedData

public Map<String,Object> getValuesForModifiedData(double evaluationTime,
                                                         MonteCarloSimulationModel model,
                                                         Map<String,Object> dataModified)
                                                  throws CalculationException

Description copied from interface: MonteCarloProduct

This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).

Specified by:

getValuesForModifiedData in interface MonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product, except for the market data to modify

dataModified - The new market data object to use (could be of different types)

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValuesForModifiedData

public Map<String,Object> getValuesForModifiedData(double evaluationTime,
                                                         MonteCarloSimulationModel model,
                                                         String entityKey,
                                                         Object dataModified)
                                                  throws CalculationException

Description copied from interface: MonteCarloProduct

This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).

Specified by:

getValuesForModifiedData in interface MonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product, except for the market data to modify

entityKey - The entity to change, it depends on the model if the model reacts to this key.

dataModified - The new market data object to use (could be of different types)

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValues

public Map<String,Object> getValues(MonteCarloSimulationModel model)
                                   throws CalculationException

Description copied from interface: MonteCarloProduct

This method returns the value of the product under the specified model and other information in a key-value map.

Specified by:

getValues in interface MonteCarloProduct

Parameters:

model - A model used to evaluate the product.

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValuesForModifiedData

public Map<String,Object> getValuesForModifiedData(MonteCarloSimulationModel model,
                                                         Map<String,Object> dataModified)
                                                  throws CalculationException

Description copied from interface: MonteCarloProduct

This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).

Specified by:

getValuesForModifiedData in interface MonteCarloProduct

Parameters:

model - The model used to price the product, except for the market data to modify

dataModified - The new market data object to use (could be of different types)

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValuesForModifiedData

public Map<String,Object> getValuesForModifiedData(MonteCarloSimulationModel model,
                                                         String entityKey,
                                                         Object dataModified)
                                                  throws CalculationException

Description copied from interface: MonteCarloProduct

This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).

Specified by:

getValuesForModifiedData in interface MonteCarloProduct

Parameters:

model - The model used to price the product, except for the market data to modify

entityKey - The entity to change, it depends on the model if the model reacts to this key.

dataModified - The new market data object to use (could be of different types)

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getCurrency

public String getCurrency()

Description copied from interface: MonteCarloProduct

Returns the currency string of this product.

Specified by:

getCurrency in interface MonteCarloProduct

Returns:

the currency

toString

public String toString()

Overrides:

toString in class Object