Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.products

Class EuropeanOptionGammaPathwise

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOptionGammaPathwise

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct

public class EuropeanOptionGammaPathwise
extends AbstractAssetMonteCarloProduct

Implements calculation of the delta of a European option using the pathwise method.

Since:

finmath-lib 4.2.0

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
EuropeanOptionGammaPathwise(double maturity, double strike)	Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).

Method Summary

Modifier and Type	Method	Description
RandomVariableAccumulator	getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
double	getValue(AssetModelMonteCarloSimulationModel model)	Calculates the value of the option under a given model.

Methods inherited from class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

getValue

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

EuropeanOptionGammaPathwise

public EuropeanOptionGammaPathwise(double maturity,
                                   double strike)

Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).

Parameters:

strike - The strike K in the option payoff max(S(T)-K,0).

maturity - The maturity T in the option payoff max(S(T)-K,0)

Method Detail

getValue

public double getValue(AssetModelMonteCarloSimulationModel model)
                throws CalculationException

Calculates the value of the option under a given model.

Parameters:

model - A reference to a model

Returns:

the value

Throws:

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

getValue

public RandomVariableAccumulator getValue(double evaluationTime,
                                          AssetModelMonteCarloSimulationModel model)

Specified by:

getValue in interface AssetMonteCarloProduct

Specified by:

getValue in class AbstractAssetMonteCarloProduct