Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.products

Interface AssetMonteCarloProduct

All Known Implementing Classes:

AbstractAssetMonteCarloProduct, AsianOption, BasketOption, BermudanDigitalOption, BermudanOption, BlackScholesDeltaHedgedPortfolio, BlackScholesHedgedPortfolio, DeltaHedgedPortfolioWithAAD, DigitalOption, DigitalOptionDeltaLikelihood, EuropeanOption, EuropeanOptionDeltaLikelihood, EuropeanOptionDeltaPathwise, EuropeanOptionDeltaPathwiseForGeometricModel, EuropeanOptionGammaLikelihood, EuropeanOptionGammaPathwise, EuropeanOptionRhoLikelihood, EuropeanOptionRhoPathwise, EuropeanOptionThetaPathwise, EuropeanOptionVegaLikelihood, EuropeanOptionVegaPathwise, EuropeanOptionWithBoundary, FiniteDifferenceDeltaHedgedPortfolio, FiniteDifferenceHedgedPortfolio, ForwardAgreement, ForwardAgreementWithFundingRequirement, LocalRiskMinimizingHedgePortfolio, SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo, SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo

public interface AssetMonteCarloProduct

Interface for products requiring an AssetModelMonteCarloSimulationModel for valuation.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
RandomVariable	getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)

Method Detail

getValue

RandomVariable getValue(double evaluationTime,
                        AssetModelMonteCarloSimulationModel model)
                 throws CalculationException

Throws:

CalculationException