Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.products

Class DeltaHedgedPortfolioWithAAD

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.DeltaHedgedPortfolioWithAAD

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct

public class DeltaHedgedPortfolioWithAAD
extends AbstractAssetMonteCarloProduct

This class implements a delta hedged portfolio (a hedge simulator). The delta hedge uses numerical calculation of the delta and - in theory - works for any model implementing AssetModelMonteCarloSimulationModel and any product implementing AbstractAssetMonteCarloProduct. The results however somewhat depend on the choice of the internal regression basis functions. The getValue-method returns the random variable \( \Pi(t) \) representing the value of the replication portfolio \( \Pi(t) = \phi_0(t) N(t) + \phi_1(t) S(t) \).

Version:

1.1

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
DeltaHedgedPortfolioWithAAD(AssetMonteCarloProduct productToReplicate)	Construction of a delta hedge portfolio.
DeltaHedgedPortfolioWithAAD(AssetMonteCarloProduct productToReplicate, int numberOfBins)	Construction of a delta hedge portfolio.

Method Summary

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

Methods inherited from class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

getValue

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

DeltaHedgedPortfolioWithAAD

public DeltaHedgedPortfolioWithAAD(AssetMonteCarloProduct productToReplicate,
                                   int numberOfBins)

Construction of a delta hedge portfolio. The delta hedge uses numerical calculation of the delta and - in theory - works for any model implementing AssetModelMonteCarloSimulationModel and any product implementing AbstractAssetMonteCarloProduct. The results however somewhat depend on the choice of the internal regression basis functions.

Parameters:

productToReplicate - The product for which the replication portfolio should be build. May be any product implementing the AbstractAssetMonteCarloProduct interface.

numberOfBins - The number of bins used to aggregate the conditional expectation of the delta.

DeltaHedgedPortfolioWithAAD

public DeltaHedgedPortfolioWithAAD(AssetMonteCarloProduct productToReplicate)

Construction of a delta hedge portfolio. The delta hedge uses numerical calculation of the delta and - in theory - works for any model implementing AssetModelMonteCarloSimulationModel and any product implementing AbstractAssetMonteCarloProduct. The results however somewhat depend on the choice of the internal regression basis functions.

Parameters:

productToReplicate - The product for which the replication portfolio should be build. May be any product implementing the AbstractAssetMonteCarloProduct interface.

Method Detail

getValue

public RandomVariable getValue(double evaluationTime,
                               AssetModelMonteCarloSimulationModel model)
                        throws CalculationException

Specified by:

getValue in interface AssetMonteCarloProduct

Specified by:

getValue in class AbstractAssetMonteCarloProduct

Throws:

CalculationException

getLastOperationTimingValuation

public double getLastOperationTimingValuation()

getLastOperationTimingDerivative

public double getLastOperationTimingDerivative()