net.finmath.montecarlo.assetderivativevaluation.products

Class FiniteDifferenceDeltaHedgedPortfolio

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 and 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

Modifier and Type	Method and 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