Module net.finmath.lib

Package net.finmath.montecarlo.products

Class PortfolioMonteCarloProduct

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.products.PortfolioMonteCarloProduct

All Implemented Interfaces:

Product, MonteCarloProduct

public class PortfolioMonteCarloProduct
extends AbstractMonteCarloProduct

A portfolio of products, each product being of AbstractMonteCarloProduct type. The valuation is performed multi-threaded over the portfolio of products.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
PortfolioMonteCarloProduct(MonteCarloProduct[] products)	Create a portfolio of products, each product being of AbstractMonteCarloProduct type.
PortfolioMonteCarloProduct(MonteCarloProduct[] products, double[] weights)	Create a portfolio of products, each product being of AbstractMonteCarloProduct type and weighted with a given weight.
PortfolioMonteCarloProduct(MonteCarloProduct[] products, double[] weights, Optional<Integer> numberOfThreads)	Create a portfolio of products, each product being of AbstractMonteCarloProduct type and weighted with a given weight.

Method Summary

Modifier and Type	Method	Description
RandomVariable	getValue(double evaluationTime, MonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

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

PortfolioMonteCarloProduct

public PortfolioMonteCarloProduct(MonteCarloProduct[] products,
                                  double[] weights,
                                  Optional<Integer> numberOfThreads)

Create a portfolio of products, each product being of AbstractMonteCarloProduct type and weighted with a given weight.

Parameters:

products - An array of products.

weights - An array of weights.

numberOfThreads - Number of parallel threads to used. Required to be > 0.

PortfolioMonteCarloProduct

public PortfolioMonteCarloProduct(MonteCarloProduct[] products,
                                  double[] weights)

Create a portfolio of products, each product being of AbstractMonteCarloProduct type and weighted with a given weight.

Parameters:

products - An array of products.

weights - An array of weights.

PortfolioMonteCarloProduct

public PortfolioMonteCarloProduct(MonteCarloProduct[] products)

Create a portfolio of products, each product being of AbstractMonteCarloProduct type.

Parameters:

products - An array of products.

Method Detail

getValue

public RandomVariable getValue(double evaluationTime,
                               MonteCarloSimulationModel model)
                        throws CalculationException

Description copied from interface: MonteCarloProduct

This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. More generally: The value random variable is a random variable V^*(t) such that the time-t conditional expectation of V^*(t) is equal to the value of the financial product in time t. An example for V^*(t) is the sum of t-discounted payoffs. Cashflows prior evaluationTime are not considered.

Specified by:

getValue in interface MonteCarloProduct

Specified by:

getValue in class AbstractMonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product.

Returns:

The random variable representing the value of the product discounted to evaluation time

Throws:

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