Module net.finmath.lib
Class FiniteDifferenceHedgedPortfolio
- 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.FiniteDifferenceHedgedPortfolio
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- All Implemented Interfaces:
Product
,AssetMonteCarloProduct
,MonteCarloProduct
public class FiniteDifferenceHedgedPortfolio extends AbstractAssetMonteCarloProduct
This class implements a delta and delta-gamma 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). In case of the gamma hedge and the vega hedge, note that we make the assumption that the market trades these option according to Black-Scholes parameters assumed in hedging. While this is a simple model, it is to some extend reasonable, when we assume that the hedge is done by calculating delta from a calibrated model (where the risk free rate and the volatility are "market implied"). That said, this class evaluates the hedge portfolio given that the market implies a given risk free rate and volatility, while the underlying follows a given (possibly different) stochastic process.- Since:
- finmath-lib 4.1.0
- Version:
- 1.3
- Author:
- Christian Fries
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
FiniteDifferenceHedgedPortfolio.HedgeStrategy
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Constructor Summary
Constructors Constructor Description FiniteDifferenceHedgedPortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, ArrayList<AbstractAssetMonteCarloProduct> hedgeProducts, FiniteDifferenceHedgedPortfolio.HedgeStrategy hedgeStrategy)
Construction of a hedge portfolio.
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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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FiniteDifferenceHedgedPortfolio
public FiniteDifferenceHedgedPortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, ArrayList<AbstractAssetMonteCarloProduct> hedgeProducts, FiniteDifferenceHedgedPortfolio.HedgeStrategy hedgeStrategy)
Construction of a hedge portfolio.- Parameters:
productToHedge
- The product for which the hedge portfolio should be constructed.modelUsedForHedging
- The model used for calculation of the hedge ratios.hedgeProducts
- The products constituting the hedge portfolio.hedgeStrategy
- Specification of the hedge strategy to be used (delta, delta-gamma, etc.).
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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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