Module net.finmath.lib
Class LocalRiskMinimizingHedgePortfolio
- 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.LocalRiskMinimizingHedgePortfolio
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- All Implemented Interfaces:
Product
,AssetMonteCarloProduct
,MonteCarloProduct
public class LocalRiskMinimizingHedgePortfolio extends AbstractAssetMonteCarloProduct
This class implements a mean variance hedged portfolio of a given product (a hedge simulator). The hedge is done using a given model, that is, the model generating the states and the model used to calculate the hedge portfolio may be different!
WARNING: If the model used for calculating the delta is "slow" (e.g., a Monte-Carlo simulation) then the calculation might take very long.- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description LocalRiskMinimizingHedgePortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, TimeDiscretization timeDiscretizationForRebalancing, int numberOfBins)
Construction of a variance minimizing 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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LocalRiskMinimizingHedgePortfolio
public LocalRiskMinimizingHedgePortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, TimeDiscretization timeDiscretizationForRebalancing, int numberOfBins)
Construction of a variance minimizing hedge portfolio.- Parameters:
productToHedge
- The financial product for which the hedge portfolio should be constructed.modelUsedForHedging
- The model used for calculating the hedge rations (deltas). This may differ from the model passed togetValue
.timeDiscretizationForRebalancing
- The times at which the portfolio is re-structured.numberOfBins
- The number of bins to use in the estimation of the conditional expectation.
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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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