Module net.finmath.lib
Class AsianOption
- 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.AsianOption
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- All Implemented Interfaces:
Product
,AssetMonteCarloProduct
,MonteCarloProduct
public class AsianOption extends AbstractAssetMonteCarloProduct
Implements the valuation of an Asian option. Given a model for an asset S, the Asian option with strike K, maturity T and averaging points Ti for i = 1,...,n pays
max(A(T) - K , 0) in T
where
A(T) = 1/n (S(T1)+ ... + S(Tn))- Version:
- 1.2
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description AsianOption(double maturity, double strike, TimeDiscretization timesForAveraging)
Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).AsianOption(double maturity, double strike, TimeDiscretization timesForAveraging, Integer underlyingIndex)
Construct a product representing an Asian 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 double
getMaturity()
Returns the maturity of the option.double
getStrike()
Returns the strike of the option.TimeDiscretization
getTimesForAveraging()
Returns the TimeDiscretization used for averaging in the asian option.Integer
getUnderlyingIndex()
Returns the index of the asset requested from model.getUnderlying(time, assetIndex) to get the underlying.RandomVariable
getValue(double evaluationTime, AssetModelMonteCarloSimulationModel 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.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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AsianOption
public AsianOption(double maturity, double strike, TimeDiscretization timesForAveraging, Integer underlyingIndex)
Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case). A(T) = 1/n sum_{i=1,...,n} S(t_i), where t_i are given observation times.- Parameters:
strike
- The strike K in the option payoff max(A(T)-K,0).maturity
- The maturity T in the option payoff maxAS(T)-K,0)timesForAveraging
- The times t_i used in the calculation of A(T) = 1/n sum_{i=1,...,n} S(t_i).underlyingIndex
- The index of the asset S to be fetched from the model
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AsianOption
public AsianOption(double maturity, double strike, TimeDiscretization timesForAveraging)
Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case). A(T) = 1/n sum_{i=1,...,n} S(t_i), where t_i are given observation times.- Parameters:
strike
- The strike K in the option payoff max(A(T)-K,0).maturity
- The maturity T in the option payoff maxAS(T)-K,0)timesForAveraging
- The times t_i used in the calculation of A(T) = 1/n sum_{i=1,...,n} S(t_i).
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Method Detail
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getValue
public RandomVariable getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) throws CalculationException
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: 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. Cashflows prior evaluationTime are not considered.- Specified by:
getValue
in interfaceAssetMonteCarloProduct
- Specified by:
getValue
in classAbstractAssetMonteCarloProduct
- 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 thecause()
method.
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getMaturity
public double getMaturity()
Returns the maturity of the option.- Returns:
- the maturity of the option.
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getStrike
public double getStrike()
Returns the strike of the option.- Returns:
- the strike of the option.
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getTimesForAveraging
public TimeDiscretization getTimesForAveraging()
Returns the TimeDiscretization used for averaging in the asian option.- Returns:
- the TimeDiscretization used for averaging in the asian option.
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getUnderlyingIndex
public Integer getUnderlyingIndex()
Returns the index of the asset requested from model.getUnderlying(time, assetIndex) to get the underlying.- Returns:
- the index of the asset requested from model.getUnderlying(time, assetIndex) to get the underlying.
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