Module net.finmath.lib
Class SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo
- 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.EuropeanOption
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- net.finmath.modelling.productfactory.SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo
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- All Implemented Interfaces:
DescribedProduct<SingleAssetEuropeanOptionProductDescriptor>
,Product
,AssetMonteCarloProduct
,MonteCarloProduct
- Enclosing class:
- SingleAssetMonteCarloProductFactory
public static class SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo extends EuropeanOption implements DescribedProduct<SingleAssetEuropeanOptionProductDescriptor>
Monte-Carlo method based implementation of a European option from a product descriptor.- Author:
- Christian Fries, Roland Bachl
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Constructor Summary
Constructors Constructor Description EuropeanOptionMonteCarlo(SingleAssetEuropeanOptionProductDescriptor descriptor, LocalDate referenceDate)
Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description SingleAssetEuropeanOptionProductDescriptor
getDescriptor()
Return a product descriptor representing this product.-
Methods inherited from class net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption
getMaturity, getNameOfUnderliyng, getStrike, getUnderlyingIndex, getValue, getValues, toString
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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, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
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Constructor Detail
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EuropeanOptionMonteCarlo
public EuropeanOptionMonteCarlo(SingleAssetEuropeanOptionProductDescriptor descriptor, LocalDate referenceDate)
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:
descriptor
- Implementation of SingleAssetEuropeanOptionProductDescriptorreferenceDate
- The reference date to be used to convert absolute maturities to relative maturities.
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Method Detail
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getDescriptor
public SingleAssetEuropeanOptionProductDescriptor getDescriptor()
Description copied from interface:DescribedProduct
Return a product descriptor representing this product.- Specified by:
getDescriptor
in interfaceDescribedProduct<SingleAssetEuropeanOptionProductDescriptor>
- Returns:
- The product descriptor of this product.
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