Module net.finmath.lib

Package net.finmath.fouriermethod.products

Class EuropeanOption

java.lang.Object

net.finmath.fouriermethod.products.AbstractFourierTransformProduct

net.finmath.fouriermethod.products.EuropeanOption

All Implemented Interfaces:

Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>, CharacteristicFunction, FourierTransformProduct, Product

Direct Known Subclasses:

SingleAssetFourierProductFactory.EuropeanOptionFourierMethod

public class EuropeanOption
extends AbstractFourierTransformProduct

Implements valuation of a European option on a single asset. Given a model for an asset S, the European option with strike K, maturity T pays
max(S(T) - K , 0) in T
The class implements the characteristic function of the call option payoff, i.e., its Fourier transform.

Version:

1.0

Author:

Christian Fries, Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
EuropeanOption(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).
EuropeanOption(String underlyingName, double maturity, double strike)

Method Summary

Modifier and Type	Method	Description
org.apache.commons.math3.complex.Complex	apply(org.apache.commons.math3.complex.Complex argument)
double	getIntegrationDomainImagLowerBound()	Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
double	getIntegrationDomainImagUpperBound()	Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
double	getMaturity()	Return the maturity of the associated payoff.

Methods inherited from class net.finmath.fouriermethod.products.AbstractFourierTransformProduct

getValue, getValue, getValues

Methods inherited from class java.lang.Object

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

Methods inherited from interface java.util.function.Function

andThen, compose

Constructor Detail

EuropeanOption

public EuropeanOption(String underlyingName,
                      double maturity,
                      double strike)

EuropeanOption

public EuropeanOption(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:

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

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

Method Detail

apply

public org.apache.commons.math3.complex.Complex apply(org.apache.commons.math3.complex.Complex argument)

getMaturity

public double getMaturity()

Description copied from interface: FourierTransformProduct

Return the maturity of the associated payoff.

Specified by:

getMaturity in interface FourierTransformProduct

Specified by:

getMaturity in class AbstractFourierTransformProduct

Returns:

The maturity of the associated payoff.

getIntegrationDomainImagLowerBound

public double getIntegrationDomainImagLowerBound()

Description copied from interface: FourierTransformProduct

Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.

Specified by:

getIntegrationDomainImagLowerBound in interface FourierTransformProduct

Specified by:

getIntegrationDomainImagLowerBound in class AbstractFourierTransformProduct

Returns:

the lower bound of the imaginary part of the domain of integration.

getIntegrationDomainImagUpperBound

public double getIntegrationDomainImagUpperBound()

Description copied from interface: FourierTransformProduct

Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.

Specified by:

getIntegrationDomainImagUpperBound in interface FourierTransformProduct

Specified by:

getIntegrationDomainImagUpperBound in class AbstractFourierTransformProduct

Returns:

the upper bound of the imaginary part of the domain of integration.