Uses of Class
net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

Packages that use AbstractAssetMonteCarloProduct

Package	Description
net.finmath.modelling.productfactory	Provides classes to build products from descriptors.
net.finmath.montecarlo.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationModel.

Uses of AbstractAssetMonteCarloProduct in net.finmath.modelling.productfactory

Subclasses of AbstractAssetMonteCarloProduct in net.finmath.modelling.productfactory

Modifier and Type	Class and Description
class	SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo Monte-Carlo method based implementation of a digital option from a product descriptor.
class	SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo Monte-Carlo method based implementation of a European option from a product descriptor.

Uses of AbstractAssetMonteCarloProduct in net.finmath.montecarlo.assetderivativevaluation.products

Subclasses of AbstractAssetMonteCarloProduct in net.finmath.montecarlo.assetderivativevaluation.products

Modifier and Type	Class and Description
class	AsianOption Implements the valuation of an Asian option.
class	BasketOption Implements valuation of a European option on a basket of asset.
class	BermudanDigitalOption This class implements the valuation of a Bermudan digital option paying \( N_{i} \cdot \mathbb{1}(S(T_{i}) - K_{i}) \) at \( T_{i} \), when exercised in \( T_{i} \), where \( N_{i} \) is the notional, \( \mathbb{1} \) is the indicator function, \( S \) is the underlying, \( K_{i} \) is the strike and \( T_{i} \) the exercise date.
class	BermudanOption This class implements the valuation of a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
class	BlackScholesDeltaHedgedPortfolio This class implements a delta hedged portfolio of an European option (a hedge simulator).
class	BlackScholesHedgedPortfolio This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
class	DeltaHedgedPortfolioWithAAD This class implements a delta hedged portfolio (a hedge simulator).
class	DigitalOption Implements the valuation of a digital option on a single asset.
class	DigitalOptionDeltaLikelihood Implements calculation of the delta of a digital option.
class	EuropeanOption Implements the valuation of a European option on a single asset.
class	FiniteDifferenceDeltaHedgedPortfolio This class implements a delta hedged portfolio of a given product (a hedge simulator).
class	LocalRiskMinimizingHedgePortfolio This class implements a mean variance hedged portfolio of a given product (a hedge simulator).

Constructors in net.finmath.montecarlo.assetderivativevaluation.products with parameters of type AbstractAssetMonteCarloProduct

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.
LocalRiskMinimizingHedgePortfolio(AbstractAssetMonteCarloProduct productToHedge, AssetModelMonteCarloSimulationModel modelUsedForHedging, TimeDiscretization timeDiscretizationForRebalancing, int numberOfBins) Construction of a variance minimizing hedge portfolio.