Module net.finmath.lib
Class EuropeanOptionWithBoundary
- 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.EuropeanOptionWithBoundary
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- All Implemented Interfaces:
Product
,AssetMonteCarloProduct
,MonteCarloProduct
public class EuropeanOptionWithBoundary extends AbstractAssetMonteCarloProduct
Implements pricing of a European stock option.- Since:
- finmath-lib 4.1.0
- Version:
- 1.2
- Author:
- Christian Fries
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Nested Class Summary
Nested Classes Modifier and Type Class Description class
EuropeanOptionWithBoundary.ConstantBarrier
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Constructor Summary
Constructors Constructor Description EuropeanOptionWithBoundary(double maturity, double strike)
Create an European option.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description RandomVariable
getBoundaryAdjustment(double fromTime, double toTime, AssetModelMonteCarloSimulationModel model, RandomVariable continuationValues)
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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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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getBoundaryAdjustment
public RandomVariable getBoundaryAdjustment(double fromTime, double toTime, AssetModelMonteCarloSimulationModel model, RandomVariable continuationValues) throws CalculationException
- Throws:
CalculationException
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