AbstractMonteCarloProduct (finmath lib 4.0.11 API)

java.lang.Object
- net.finmath.montecarlo.AbstractMonteCarloProduct

All Implemented Interfaces:

Product, MonteCarloProduct

Direct Known Subclasses:

AbstractAssetMonteCarloProduct, AbstractLIBORMonteCarloProduct, PortfolioMonteCarloProduct, SwaprateCovarianceAnalyticApproximation
```
public abstract class AbstractMonteCarloProduct
extends Object
implements MonteCarloProduct
```
Base class for products requiring an MonteCarloSimulationModel for valuation.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors
Constructor and Description

AbstractMonteCarloProduct()

AbstractMonteCarloProduct(String currency)

Constructors
Constructor and Description
`AbstractMonteCarloProduct()`
`AbstractMonteCarloProduct(String currency)`

Method Summary

All Methods Instance Methods Abstract Methods Concrete Methods
Modifier and Type	Method and Description
`String`	`getCurrency()` Returns the currency string of this product.
`Object`	`getValue(double evaluationTime, Model model)` Return the valuation of the product using the given model.
`abstract RandomVariable`	`getValue(double evaluationTime, MonteCarloSimulationModel model)` This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
`double`	`getValue(MonteCarloSimulationModel model)` This method returns the value of the product under the specified model.
`Map<String,Object>`	`getValues(double evaluationTime, Model model)` Return the valuation of the product using the given model.
`Map<String,Object>`	`getValues(double evaluationTime, MonteCarloSimulationModel model)` This method returns the value of the product under the specified model and other information in a key-value map.
`Map<String,Object>`	`getValues(MonteCarloSimulationModel model)` This method returns the value of the product under the specified model and other information in a key-value map.
`Map<String,Object>`	`getValuesForModifiedData(double evaluationTime, MonteCarloSimulationModel model, Map<String,Object> dataModified)` This method returns the value under shifted market data (or model parameters).
`Map<String,Object>`	`getValuesForModifiedData(double evaluationTime, MonteCarloSimulationModel model, String entityKey, Object dataModified)` This method returns the value under shifted market data (or model parameters).
`Map<String,Object>`	`getValuesForModifiedData(MonteCarloSimulationModel model, Map<String,Object> dataModified)` This method returns the value under shifted market data (or model parameters).
`Map<String,Object>`	`getValuesForModifiedData(MonteCarloSimulationModel model, String entityKey, Object dataModified)` This method returns the value under shifted market data (or model parameters).
`String`	`toString()`

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

- Constructor Detail
  - AbstractMonteCarloProduct
```
public AbstractMonteCarloProduct(String currency)
```
  - AbstractMonteCarloProduct
```
public AbstractMonteCarloProduct()
```
- Method Detail
  - getValue
```
public Object getValue(double evaluationTime,
                       Model model)
```
    Description copied from interface: Product
    
    Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.
    
    Specified by:
    
    getValue in interface Product
    
    Specified by:
    
    getValue in interface MonteCarloProduct
    
    Parameters:
    
    evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.
    
    model - The model under which the product is valued.
    
    Returns:
    
    Object containing the value of the product using the given model.
  - getValues
```
public Map<String,Object> getValues(double evaluationTime,
                                    Model model)
```
    Description copied from interface: Product
    
    Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.
    
    Specified by:
    
    getValues in interface Product
    
    Specified by:
    
    getValues in interface MonteCarloProduct
    
    Parameters:
    
    evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.
    
    model - The model under which the product is valued.
    
    Returns:
    
    Map containing the value of the product using the given model.
  - getValue
```
public abstract RandomVariable getValue(double evaluationTime,
                                        MonteCarloSimulationModel model)
                                 throws CalculationException
```
    Description copied from interface: MonteCarloProduct
    
    This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. 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. More generally: The value random variable is a random variable V^*(t) such that the time-t conditional expectation of V^*(t) is equal to the value of the financial product in time t. An example for V^*(t) is the sum of t-discounted payoffs. Cashflows prior evaluationTime are not considered.
    
    Specified by:
    
    getValue in interface MonteCarloProduct
    
    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 the cause() method.
  - getValue
```
public double getValue(MonteCarloSimulationModel model)
                throws CalculationException
```
    Description copied from interface: MonteCarloProduct
    
    This method returns the value of the product under the specified model.
    
    Specified by:
    
    getValue in interface MonteCarloProduct
    
    Parameters:
    
    model - A model used to evaluate the product.
    
    Returns:
    
    The value of the product.
    
    Throws:
    
    CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
  - getValues
```
public Map<String,Object> getValues(double evaluationTime,
                                    MonteCarloSimulationModel model)
                             throws CalculationException
```
    Description copied from interface: MonteCarloProduct
    
    This method returns the value of the product under the specified model and other information in a key-value map.
    
    Specified by:
    
    getValues in interface MonteCarloProduct
    
    Parameters:
    
    evaluationTime - The time on which this products value should be observed.
    
    model - A model used to evaluate the product.
    
    Returns:
    
    The values of the product.
    
    Throws:
    
    CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
  - getValuesForModifiedData
```
public Map<String,Object> getValuesForModifiedData(double evaluationTime,
                                                   MonteCarloSimulationModel model,
                                                   Map<String,Object> dataModified)
                                            throws CalculationException
```
    Description copied from interface: MonteCarloProduct
    
    This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
    
    Specified by:
    
    getValuesForModifiedData in interface MonteCarloProduct
    
    Parameters:
    
    evaluationTime - The time on which this products value should be observed.
    
    model - The model used to price the product, except for the market data to modify
    
    dataModified - The new market data object to use (could be of different types)
    
    Returns:
    
    The values of the product.
    
    Throws:
    
    CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
  - getValuesForModifiedData
```
public Map<String,Object> getValuesForModifiedData(double evaluationTime,
                                                   MonteCarloSimulationModel model,
                                                   String entityKey,
                                                   Object dataModified)
                                            throws CalculationException
```
    Description copied from interface: MonteCarloProduct
    
    This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
    
    Specified by:
    
    getValuesForModifiedData in interface MonteCarloProduct
    
    Parameters:
    
    evaluationTime - The time on which this products value should be observed.
    
    model - The model used to price the product, except for the market data to modify
    
    entityKey - The entity to change, it depends on the model if the model reacts to this key.
    
    dataModified - The new market data object to use (could be of different types)
    
    Returns:
    
    The values of the product.
    
    Throws:
    
    CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
  - getValues
```
public Map<String,Object> getValues(MonteCarloSimulationModel model)
                             throws CalculationException
```
    Description copied from interface: MonteCarloProduct
    
    This method returns the value of the product under the specified model and other information in a key-value map.
    
    Specified by:
    
    getValues in interface MonteCarloProduct
    
    Parameters:
    
    model - A model used to evaluate the product.
    
    Returns:
    
    The values of the product.
    
    Throws:
    
    CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
  - getValuesForModifiedData
```
public Map<String,Object> getValuesForModifiedData(MonteCarloSimulationModel model,
                                                   Map<String,Object> dataModified)
                                            throws CalculationException
```
    Description copied from interface: MonteCarloProduct
    
    This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
    
    Specified by:
    
    getValuesForModifiedData in interface MonteCarloProduct
    
    Parameters:
    
    model - The model used to price the product, except for the market data to modify
    
    dataModified - The new market data object to use (could be of different types)
    
    Returns:
    
    The values of the product.
    
    Throws:
    
    CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
  - getValuesForModifiedData
```
public Map<String,Object> getValuesForModifiedData(MonteCarloSimulationModel model,
                                                   String entityKey,
                                                   Object dataModified)
                                            throws CalculationException
```
    Description copied from interface: MonteCarloProduct
    
    This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).
    
    Specified by:
    
    getValuesForModifiedData in interface MonteCarloProduct
    
    Parameters:
    
    model - The model used to price the product, except for the market data to modify
    
    entityKey - The entity to change, it depends on the model if the model reacts to this key.
    
    dataModified - The new market data object to use (could be of different types)
    
    Returns:
    
    The values of the product.
    
    Throws:
    
    CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
  - getCurrency
```
public String getCurrency()
```
    Description copied from interface: MonteCarloProduct
    
    Returns the currency string of this product.
    
    Specified by:
    
    getCurrency in interface MonteCarloProduct
    
    Returns:
    
    the currency
  - toString
```
public String toString()
```
    Overrides:
    
    toString in class Object

Class AbstractMonteCarloProduct

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Constructor Detail

AbstractMonteCarloProduct

AbstractMonteCarloProduct

Method Detail

getValue

getValues

getValue

getValue

getValues

getValuesForModifiedData

getValuesForModifiedData

getValues

getValuesForModifiedData

getValuesForModifiedData

getCurrency

toString