Module net.finmath.lib
Class BasketOption
- 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.BasketOption
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- All Implemented Interfaces:
Product
,AssetMonteCarloProduct
,MonteCarloProduct
public class BasketOption extends AbstractAssetMonteCarloProduct
Implements valuation of a European option on a basket of asset. Given a model for asset \( S_{i} \), the European option with basket weights \( \alpha_{i} \), strike K, maturity T pays \[ max\left( \sum_{i} \alpha_{i} S_{i}(T) - K , 0 \right) \] in T. Note that the specification of \( \alpha_{i} \) and \( K \) allows to construct some special cases, like- a European option \( \alpha_{1} = 1 \), \( \alpha_{j} = 0 \) for \( j \neq 1 \)
- an exchange option \( \alpha_{1} = 1 \), \( \alpha_{2} = -1 \), \( K = 0 \)
- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description BasketOption(double maturity, double strike, double[] weights)
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 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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BasketOption
public BasketOption(double maturity, double strike, double[] weights)
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 \( max\left( \sum_{i} \alpha_{i} S_{i}(T) - K , 0 \right) \).strike
- The strike K in the option payoff \( max\left( \sum_{i} \alpha_{i} S_{i}(T) - K , 0 \right) \).weights
- The weights \( \alpha_{i} \) in the option payof \( max\left( \sum_{i} \alpha_{i} S_{i}(T) - K , 0 \right) \).
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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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