Module net.finmath.lib

Package net.finmath.fouriermethod.products

Class AbstractFourierTransformProduct

java.lang.Object

net.finmath.fouriermethod.products.AbstractFourierTransformProduct

All Implemented Interfaces:

Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>, CharacteristicFunction, FourierTransformProduct, Product

Direct Known Subclasses:

DigitalOption, EuropeanOption

public abstract class AbstractFourierTransformProduct
extends Object
implements CharacteristicFunction, FourierTransformProduct

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
AbstractFourierTransformProduct()

Method Summary

Modifier and Type	Method	Description
abstract double	getIntegrationDomainImagLowerBound()	Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
abstract double	getIntegrationDomainImagUpperBound()	Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
abstract double	getMaturity()	Return the maturity of the associated payoff.
Double	getValue(double evaluationTime, Model model)	Return the valuation of the product using the given model.
double	getValue(CharacteristicFunctionModel 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 java.lang.Object

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

Methods inherited from interface java.util.function.Function

andThen, apply, compose

Constructor Detail

AbstractFourierTransformProduct

public AbstractFourierTransformProduct()

Method Detail

getValue

public Double 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 FourierTransformProduct

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

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 FourierTransformProduct

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

public double getValue(CharacteristicFunctionModel model)
                throws CalculationException

Description copied from interface: FourierTransformProduct

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 FourierTransformProduct

Parameters:

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.

getMaturity

public abstract double getMaturity()

Description copied from interface: FourierTransformProduct

Return the maturity of the associated payoff.

Specified by:

getMaturity in interface FourierTransformProduct

Returns:

The maturity of the associated payoff.

getIntegrationDomainImagLowerBound

public abstract double getIntegrationDomainImagLowerBound()

Description copied from interface: FourierTransformProduct

Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.

Specified by:

getIntegrationDomainImagLowerBound in interface FourierTransformProduct

Returns:

the lower bound of the imaginary part of the domain of integration.

getIntegrationDomainImagUpperBound

public abstract double getIntegrationDomainImagUpperBound()

Description copied from interface: FourierTransformProduct

Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.

Specified by:

getIntegrationDomainImagUpperBound in interface FourierTransformProduct

Returns:

the upper bound of the imaginary part of the domain of integration.