net.finmath.montecarlo.assetderivativevaluation.products

Class EuropeanOption

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct

Direct Known Subclasses:

SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo

public class EuropeanOption
extends AbstractAssetMonteCarloProduct

Implements the valuation of a European option on a single asset. Given a model for an asset S, the European option with strike K, maturity T pays
V(T) = max(S(T) - K , 0) in T.
The getValue method of this class will return the random variable N(t) * V(T) / N(T), where N is the numeraire provided by the model. If N(t) is deterministic, calling getAverage on this random variable will result in the value. Otherwise a conditional expectation has to be applied.

Version:

1.3

Author:

Christian Fries

Constructor Summary

Constructors

Constructor and Description
EuropeanOption(double maturity, double strike) Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOption(double maturity, double strike, int underlyingIndex) Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
EuropeanOption(String underlyingName, double maturity, double strike) Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).

Method Summary

Modifier and Type	Method and Description
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.
Map<String,Object>	getValues(double evaluationTime, Model model) Return the valuation of the product using the given 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, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

EuropeanOption

public EuropeanOption(String underlyingName,
                      double maturity,
                      double strike)

Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).

Parameters:

underlyingName - Name of the underlying

maturity - The maturity T in the option payoff max(S(T)-K,0)

strike - The strike K in the option payoff max(S(T)-K,0).

EuropeanOption

public EuropeanOption(double maturity,
                      double strike,
                      int underlyingIndex)

Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).

Parameters:

maturity - The maturity T in the option payoff max(S(T)-K,0)

strike - The strike K in the option payoff max(S(T)-K,0).

underlyingIndex - The index of the underlying to be fetched from the model.

EuropeanOption

public EuropeanOption(double maturity,
                      double strike)

Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).

Parameters:

maturity - The maturity T in the option payoff max(S(T)-K,0)

strike - The strike K in the option payoff max(S(T)-K,0).

Method Detail

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 interface AssetMonteCarloProduct

Specified by:

getValue in class AbstractAssetMonteCarloProduct

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.

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

Overrides:

getValues in class AbstractMonteCarloProduct

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.