Module net.finmath.lib

Package net.finmath.modelling.productfactory

Class SingleAssetFourierProductFactory

java.lang.Object

net.finmath.modelling.productfactory.SingleAssetFourierProductFactory

All Implemented Interfaces:

ProductFactory<SingleAssetProductDescriptor>

public class SingleAssetFourierProductFactory
extends Object
implements ProductFactory<SingleAssetProductDescriptor>

Product factory of single asset derivatives for use with a Fourier method based model.

Version:

1.0

Author:

Christian Fries, Roland Bachl

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	SingleAssetFourierProductFactory.DigitalOptionFourierMethod	Fourier method based implementation of a digital option from a product descriptor.
static class	SingleAssetFourierProductFactory.EuropeanOptionFourierMethod	Fourier method based implementation of a European option from a product descriptor.

Constructor Summary

Constructors

Constructor	Description
SingleAssetFourierProductFactory(LocalDate referenceDate)	Create the product factory.

Method Summary

Modifier and Type	Method	Description
DescribedProduct<? extends SingleAssetProductDescriptor>	getProductFromDescriptor(ProductDescriptor descriptor)	Constructs the product from a given product descriptor.

Methods inherited from class java.lang.Object

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

Constructor Detail

SingleAssetFourierProductFactory

public SingleAssetFourierProductFactory(LocalDate referenceDate)

Create the product factory.

Parameters:

referenceDate - To be used when converting absolute dates to relative dates in double.

Method Detail

getProductFromDescriptor

public DescribedProduct<? extends SingleAssetProductDescriptor> getProductFromDescriptor(ProductDescriptor descriptor)

Description copied from interface: ProductFactory

Constructs the product from a given product descriptor.

Specified by:

getProductFromDescriptor in interface ProductFactory<SingleAssetProductDescriptor>

Parameters:

descriptor - A product descriptor.

Returns:

An instance of the product describable by this descriptor.