Module net.finmath.lib
Class BlackScholesDeltaHedgedPortfolio
- java.lang.Object
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- net.finmath.montecarlo.AbstractMonteCarloProduct
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- net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
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- net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio
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- All Implemented Interfaces:
Product
,AssetMonteCarloProduct
,MonteCarloProduct
public class BlackScholesDeltaHedgedPortfolio extends AbstractAssetMonteCarloProduct
This class implements a delta hedged portfolio of an European option (a hedge simulator). The hedge is done under the assumption of a Black Scholes Model (even if the pricing model is a different one). ThegetValue
-method returns the random variable \( \Pi(t) \) representing the value of the replication portfolio \( \Pi(t) = \phi_0(t) N(t) + \phi_1(t) S(t) \).- Version:
- 1.1
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description BlackScholesDeltaHedgedPortfolio(double maturity, double strike, double riskFreeRate, double volatility)
Construction of a delta hedge portfolio assuming a Black-Scholes model.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description RandomVariable
getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
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Methods inherited from class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
getValue
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Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString
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Constructor Detail
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BlackScholesDeltaHedgedPortfolio
public BlackScholesDeltaHedgedPortfolio(double maturity, double strike, double riskFreeRate, double volatility)
Construction of a delta hedge portfolio assuming a Black-Scholes model.- Parameters:
maturity
- Maturity of the option we wish to replicate.strike
- Strike of the option we wish to replicate.riskFreeRate
- Model riskFreeRate assumption for our delta hedge.volatility
- Model volatility assumption for our delta hedge.
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Method Detail
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getValue
public RandomVariable getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) throws CalculationException
- Specified by:
getValue
in interfaceAssetMonteCarloProduct
- Specified by:
getValue
in classAbstractAssetMonteCarloProduct
- Throws:
CalculationException
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