net.finmath.montecarlo

Interface MonteCarloProduct

All Superinterfaces:

Product

All Known Subinterfaces:

TermStructureMonteCarloProduct

All Known Implementing Classes:

AbstractAssetMonteCarloProduct, AbstractIndex, AbstractLIBORMonteCarloProduct, AbstractMonteCarloProduct, AbstractPeriod, AbstractProductComponent, AccrualAccount, AccruedInterest, AnalyticModelForwardCurveIndex, AnalyticModelIndex, AsianOption, BasketOption, BermudanDigitalOption, BermudanOption, BermudanSwaption, BermudanSwaptionFromSwapSchedules, BlackScholesDeltaHedgedPortfolio, BlackScholesHedgedPortfolio, Bond, CancelableSwap, Caplet, CappedFlooredIndex, Cashflow, CMSOption, ConstantMaturitySwaprate, DateIndex, DeltaHedgedPortfolioWithAAD, DigitalCaplet, DigitalFloorlet, DigitalOption, DigitalOptionDeltaLikelihood, EuropeanOption, ExposureEstimator, FiniteDifferenceDeltaHedgedPortfolio, FixedCoupon, FlexiCap, ForwardCurveIndex, ForwardRateVolatilitySurfaceCurvature, IndexedValue, InterestRateMonteCarloProductFactory.SwapLegMonteCarlo, InterestRateMonteCarloProductFactory.SwapMonteCarlo, InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo, LaggedIndex, LIBORBond, LIBORIndex, LinearCombinationIndex, LocalRiskMinimizingHedgePortfolio, MaxIndex, MinIndex, MoneyMarketAccount, Numeraire, NumerairePerformanceIndex, NumerairePerformanceOnScheduleIndex, Option, PerformanceIndex, Period, Portfolio, PortfolioMonteCarloProduct, PowIndex, ProductCollection, ProductIndex, Selector, SimpleCappedFlooredFloatingRateBond, SimpleSwap, SimpleZeroSwap, SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo, SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo, Swap, SwapLeg, SwaprateCovarianceAnalyticApproximation, Swaption, SwaptionAnalyticApproximation, SwaptionAnalyticApproximationRebonato, SwaptionATM, SwaptionFromSwapSchedules, SwaptionGeneralizedAnalyticApproximation, SwaptionSimple, SwaptionSingleCurve, SwaptionSingleCurveAnalyticApproximation, SwaptionWithComponents, SwapWithComponents, TimeDiscreteEndOfMonthIndex, TriggerIndex, UnsupportedIndex

public interface MonteCarloProduct
extends Product

Interface for products requiring an MonteCarloSimulationModel for valuation.

Version:

1.0

Author:

Christian Fries

Method Summary

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.
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).

Method Detail

getCurrency

String getCurrency()

Returns the currency string of this product.

Returns:

the currency

getValue

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

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

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

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

RandomVariable getValue(double evaluationTime,
                        MonteCarloSimulationModel model)
                 throws CalculationException

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.

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

double getValue(MonteCarloSimulationModel model)
         throws CalculationException

This method returns the value of the product under the specified model.

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

Map<String,Object> getValues(double evaluationTime,
                             MonteCarloSimulationModel model)
                      throws CalculationException

This method returns the value of the product under the specified model and other information in a key-value map.

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

Map<String,Object> getValuesForModifiedData(double evaluationTime,
                                            MonteCarloSimulationModel model,
                                            Map<String,Object> dataModified)
                                     throws CalculationException

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).

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

Map<String,Object> getValuesForModifiedData(double evaluationTime,
                                            MonteCarloSimulationModel model,
                                            String entityKey,
                                            Object dataModified)
                                     throws CalculationException

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).

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

Map<String,Object> getValues(MonteCarloSimulationModel model)
                      throws CalculationException

This method returns the value of the product under the specified model and other information in a key-value map.

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

Map<String,Object> getValuesForModifiedData(MonteCarloSimulationModel model,
                                            Map<String,Object> dataModified)
                                     throws CalculationException

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).

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

Map<String,Object> getValuesForModifiedData(MonteCarloSimulationModel model,
                                            String entityKey,
                                            Object dataModified)
                                     throws CalculationException

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).

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.