Module net.finmath.lib
Class EuropeanOptionRhoLikelihood
- 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.EuropeanOptionRhoLikelihood
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- All Implemented Interfaces:
Product
,AssetMonteCarloProduct
,MonteCarloProduct
public class EuropeanOptionRhoLikelihood extends AbstractAssetMonteCarloProduct
Implements calculation of the delta of a European option.- Since:
- finmath-lib 4.2.0
- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description EuropeanOptionRhoLikelihood(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).
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Method Summary
All Methods Instance Methods Concrete Methods 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
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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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EuropeanOptionRhoLikelihood
public EuropeanOptionRhoLikelihood(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)
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Method Detail
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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 thecause()
method.
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getValue
public RandomVariableAccumulator getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
- Specified by:
getValue
in interfaceAssetMonteCarloProduct
- Specified by:
getValue
in classAbstractAssetMonteCarloProduct
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