net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation

Class MonteCarloBlackScholesModel2

java.lang.Object

net.finmath.montecarlo.templatemethoddesign.LogNormalProcess

net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2

All Implemented Interfaces:

Model, AssetModelMonteCarloSimulationModel, MonteCarloSimulationModel

public class MonteCarloBlackScholesModel2
extends LogNormalProcess
implements AssetModelMonteCarloSimulationModel

Monte Carlo simulation of a simple Black-Scholes model for a stock generated discrete process

Version:

1.2

Author:

Christian Fries

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess

LogNormalProcess.Scheme

Constructor Summary

Constructors

Constructor and Description
MonteCarloBlackScholesModel2(TimeDiscretization timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility) Create a Monte-Carlo simulation using given time discretization.
MonteCarloBlackScholesModel2(TimeDiscretization timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility, int seed) Create a Monte-Carlo simulation using given time discretization.

Method Summary

Modifier and Type	Method and Description
RandomVariable	getAssetValue(double time, int assetIndex) Returns the random variable representing the asset's value at a given time for a given asset.
RandomVariable	getAssetValue(int timeIndex, int assetIndex) Returns the random variable representing the asset's value at a given time for a given asset.
AssetModelMonteCarloSimulationModel	getCloneWithModifiedData(Map<String,Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).
AssetModelMonteCarloSimulationModel	getCloneWithModifiedSeed(int seed) Create a clone of the object implementing AssetModelMonteCarloSimulationModel using a different Monte-Carlo seed.
RandomVariable	getDrift(int timeIndex, int componentIndex, RandomVariable[] realizationAtTimeIndex, RandomVariable[] realizationPredictor)
RandomVariable	getFactorLoading(int timeIndex, int factor, int component, RandomVariable[] realizationAtTimeIndex) This method should be overwritten and return the factor loading, i.e.
RandomVariable[]	getInitialValue()
RandomVariable	getMonteCarloWeights(double time) This method returns the weights of a weighted Monte Carlo method (the probability density).
int	getNumberOfAssets() Returns the number of asset price processes.
RandomVariable	getNumeraire(double time) Returns the numeraire associated with the valuation measure used by this model.
RandomVariable	getNumeraire(int timeIndex) Returns the numeraire associated with the valuation measure used by this model.
RandomVariable	getRandomVariableForConstant(double value) Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.
LocalDateTime	getReferenceDate() Returns the model's date corresponding to the time discretization's \( t = 0 \).
double	getRiskFreeRate() Returns the riskFreeRate.
double	getVolatility() Returns the volatility.
String	toString()

Methods inherited from class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess

getBrownianMotion, getDrift, getMonteCarloWeights, getNumberOfComponents, getNumberOfFactors, getNumberOfPaths, getProcessValue, getProcessValue, getScheme, getTime, getTimeDiscretization, getTimeIndex, setBrownianMotion, setScheme

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.MonteCarloSimulationModel

getMonteCarloWeights, getNumberOfPaths, getTime, getTimeDiscretization, getTimeIndex

Constructor Detail

MonteCarloBlackScholesModel2

public MonteCarloBlackScholesModel2(TimeDiscretization timeDiscretization,
                                    int numberOfPaths,
                                    double initialValue,
                                    double riskFreeRate,
                                    double volatility)

Create a Monte-Carlo simulation using given time discretization.

Parameters:

timeDiscretization - The time discretization

numberOfPaths - The number of Monte-Carlo path to be used

initialValue - Spot value

riskFreeRate - The risk free rate

volatility - The log volatility

MonteCarloBlackScholesModel2

public MonteCarloBlackScholesModel2(TimeDiscretization timeDiscretization,
                                    int numberOfPaths,
                                    double initialValue,
                                    double riskFreeRate,
                                    double volatility,
                                    int seed)

Create a Monte-Carlo simulation using given time discretization.

Parameters:

timeDiscretization - The time discretization.

numberOfPaths - The number of Monte-Carlo path to be used.

initialValue - Spot value.

riskFreeRate - The risk free rate.

volatility - The log volatility.

seed - The seed for the random number generator.

Method Detail

getReferenceDate

public LocalDateTime getReferenceDate()

Description copied from interface: MonteCarloSimulationModel

Returns the model's date corresponding to the time discretization's \( t = 0 \).

Specified by:

getReferenceDate in interface MonteCarloSimulationModel

Returns:

The model's date corresponding to the time discretization's \( t = 0 \).

getNumberOfAssets

public int getNumberOfAssets()

Description copied from interface: AssetModelMonteCarloSimulationModel

Returns the number of asset price processes.

Specified by:

getNumberOfAssets in interface AssetModelMonteCarloSimulationModel

Returns:

The number of asset price processes

getInitialValue

public RandomVariable[] getInitialValue()

Specified by:

getInitialValue in class LogNormalProcess

Returns:

Returns the initialValue.

getDrift

public RandomVariable getDrift(int timeIndex,
                               int componentIndex,
                               RandomVariable[] realizationAtTimeIndex,
                               RandomVariable[] realizationPredictor)

Specified by:

getDrift in class LogNormalProcess

getFactorLoading

public RandomVariable getFactorLoading(int timeIndex,
                                       int factor,
                                       int component,
                                       RandomVariable[] realizationAtTimeIndex)

Description copied from class: LogNormalProcess

This method should be overwritten and return the factor loading, i.e. the coeffient λ(i,j) such that
dS(j) = (...) dt + S(j) * (λ(1,j) dW(1) + ... + λ(m,j) dW(m))
in an m-factor model. Here j denotes index of the component of the resulting log-normal process and i denotes the index of the factor.

Overwrite this method if you would like to implement a multi factor model.

Specified by:

getFactorLoading in class LogNormalProcess

Parameters:

timeIndex - The time index of the simulation time discretization.

factor - The factor index.

component - The component index.

realizationAtTimeIndex - The realization at the current time index.

Returns:

factor loading for given factor and component

getAssetValue

public RandomVariable getAssetValue(int timeIndex,
                                    int assetIndex)

Description copied from interface: AssetModelMonteCarloSimulationModel

Returns the random variable representing the asset's value at a given time for a given asset.

Specified by:

getAssetValue in interface AssetModelMonteCarloSimulationModel

Parameters:

timeIndex - Index of simulation time

assetIndex - Index of the asset (0 for a single asset model)

Returns:

The asset process as seen on simulation time

getAssetValue

public RandomVariable getAssetValue(double time,
                                    int assetIndex)

Description copied from interface: AssetModelMonteCarloSimulationModel

Returns the random variable representing the asset's value at a given time for a given asset.

Specified by:

getAssetValue in interface AssetModelMonteCarloSimulationModel

Parameters:

time - Simulation time

assetIndex - Index of the asset (0 for a single asset model)

Returns:

The asset process as seen on simulation time

getMonteCarloWeights

public RandomVariable getMonteCarloWeights(double time)

Description copied from interface: MonteCarloSimulationModel

This method returns the weights of a weighted Monte Carlo method (the probability density).

Specified by:

getMonteCarloWeights in interface MonteCarloSimulationModel

Parameters:

time - Time at which the process should be observed

Returns:

A vector of positive weights which sums up to one

getNumeraire

public RandomVariable getNumeraire(int timeIndex)

Description copied from interface: AssetModelMonteCarloSimulationModel

Returns the numeraire associated with the valuation measure used by this model.

Specified by:

getNumeraire in interface AssetModelMonteCarloSimulationModel

Parameters:

timeIndex - The time index (associated with this models time discretization).

Returns:

The numeraire associated with the valuation measure used by this model.

getNumeraire

public RandomVariable getNumeraire(double time)

Description copied from interface: AssetModelMonteCarloSimulationModel

Returns the numeraire associated with the valuation measure used by this model.

Specified by:

getNumeraire in interface AssetModelMonteCarloSimulationModel

Parameters:

time - The time for which the numeraire is requested.

Returns:

The numeraire associated with the valuation measure used by this model.

getRandomVariableForConstant

public RandomVariable getRandomVariableForConstant(double value)

Description copied from interface: MonteCarloSimulationModel

Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationModel.

Specified by:

getRandomVariableForConstant in interface MonteCarloSimulationModel

Parameters:

value - The constant value to be used for initialized the random variable.

Returns:

A new random variable.

toString

public String toString()

Overrides:

toString in class Object

getRiskFreeRate

public double getRiskFreeRate()

Returns the riskFreeRate.

Returns:

The riskFreeRate.

getVolatility

public double getVolatility()

Returns the volatility.

Returns:

The volatility.

getCloneWithModifiedSeed

public AssetModelMonteCarloSimulationModel getCloneWithModifiedSeed(int seed)

Description copied from interface: AssetModelMonteCarloSimulationModel

Create a clone of the object implementing AssetModelMonteCarloSimulationModel using a different Monte-Carlo seed.

Specified by:

getCloneWithModifiedSeed in interface AssetModelMonteCarloSimulationModel

Parameters:

seed - The seed of the underlying random number generator.

Returns:

Returns a clone of this model except for a modified Monte-Carlo seed.

getCloneWithModifiedData

public AssetModelMonteCarloSimulationModel getCloneWithModifiedData(Map<String,Object> dataModified)

Description copied from interface: AssetModelMonteCarloSimulationModel

Create a clone of this simulation modifying some of its properties (if any).

Specified by:

getCloneWithModifiedData in interface AssetModelMonteCarloSimulationModel

Specified by:

getCloneWithModifiedData in interface MonteCarloSimulationModel

Parameters:

dataModified - The data which should be changed in the new model

Returns:

Returns a clone of this model, with some data modified (then it is no longer a clone :-)