net.finmath.fouriermethod.products.smile

Interface SmileByIntegralTransform

All Superinterfaces:

CharacteristicFunction, Function<Complex,Complex>

All Known Implementing Classes:

EuropeanOptionSmile, EuropeanOptionSmileByCarrMadan

public interface SmileByIntegralTransform
extends CharacteristicFunction

Base interface for Fourier-based valuations. The particular feature is given by the method getValue, that returns a collection of prices.

Author:

Alessandro Gnoatto

Method Summary

Modifier and Type	Method and Description
double	getIntegrationDomainImagLowerBound() Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
double	getIntegrationDomainImagUpperBound() Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
double	getMaturity() Return the maturity of the associated payoff.
Map<String,Function<Double,Double>>	getValue(double evaluationTime, CharacteristicFunctionModel model) Return the value of a family of options with the same maturity for different strikes.

Methods inherited from interface java.util.function.Function

andThen, apply, compose, identity

Method Detail

getMaturity

double getMaturity()

Return the maturity of the associated payoff.

Returns:

The maturity of the associated payoff.

getIntegrationDomainImagLowerBound

double getIntegrationDomainImagLowerBound()

Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.

Returns:

the lower bound of the imaginary part of the domain of integration.

getIntegrationDomainImagUpperBound

double getIntegrationDomainImagUpperBound()

Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.

Returns:

the upper bound of the imaginary part of the domain of integration.

getValue

Map<String,Function<Double,Double>> getValue(double evaluationTime,
                                             CharacteristicFunctionModel model)
                                      throws CalculationException

Return the value of a family of options with the same maturity for different strikes.

Parameters:

evaluationTime - The evaluation time.

model - The model against which the product should be values.

Returns:

The map of product values mapping from strike to value.

Throws:

CalculationException - Thrown if the valuation failed.