FiniteDifferenceDeltaHedgedPortfolio (finmath lib 5.0.5 API)

java.lang.Object
- net.finmath.montecarlo.AbstractMonteCarloProduct
- - net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
  - - net.finmath.montecarlo.assetderivativevaluation.products.FiniteDifferenceDeltaHedgedPortfolio

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct
```
public class FiniteDifferenceDeltaHedgedPortfolio
extends AbstractAssetMonteCarloProduct
```
This class implements a delta hedged portfolio of a given product (a hedge simulator). The hedge is done using a given model to calculate delta via finite difference.
WARNING: If the model used for calculating the delta is "slow" (e.g., a Monte-Carlo simulation) then the calculation might take very long.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors
Constructor	Description
`FiniteDifferenceDeltaHedgedPortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging)`	Construction of a delta hedge portfolio using finite differences on every path and in every time-step.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type Method Description

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
  - FiniteDifferenceDeltaHedgedPortfolio
```
public FiniteDifferenceDeltaHedgedPortfolio(AbstractAssetMonteCarloProduct productToHedge,
                                            AssetModelMonteCarloSimulationModel modelUsedForHedging)
```
    Construction of a delta hedge portfolio using finite differences on every path and in every time-step. Note that this requires many revaluations of the product provided.
    
    Parameters:
    
    productToHedge - The financial product for which the hedge portfolio should be constructed.
    
    modelUsedForHedging - The model used for calculating the hedge rations (deltas). This may differ from the model passed to getValue.
- 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