Module net.finmath.lib

Package net.finmath.fouriermethod.products.smile

Class EuropeanOptionSmile

java.lang.Object

net.finmath.fouriermethod.products.smile.EuropeanOptionSmile

All Implemented Interfaces:

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

Direct Known Subclasses:

EuropeanOptionSmileByCarrMadan

public abstract class EuropeanOptionSmile
extends Object
implements SmileByIntegralTransform

This is an abstract base class for Fourier-based methodologies for the valuation of a smile of options. Concrete different Fourier methodologies should provide different implementations of the getValue method, which is left here as abstract.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
EuropeanOptionSmile(double maturity, double[] strikes)
EuropeanOptionSmile(String underlyingName, double maturity, double[] strikes)

Method Summary

Modifier and Type	Method	Description
org.apache.commons.math3.complex.Complex	apply(org.apache.commons.math3.complex.Complex z)
abstract EuropeanOptionSmile	getCloneWithModifiedParameters(double maturity, double[] strikes)	Returns the same valuation method for different parameters (maturity and strikes).
SingleAssetEuropeanOptionProductDescriptor	getDescriptor(LocalDate referenceDate, int index)	Return a product descriptor for a specific strike.
Map<Double,SingleAssetEuropeanOptionProductDescriptor>	getDescriptors(LocalDate referenceDate)	Return a collection of product descriptors for each option in the smile.
double	getIntegrationDomainImagLowerBound()	Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
double	getIntegrationDomainImagUpperBound()	Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
double	getMaturity()	Return the maturity of the associated payoff.
double[]	getStrikes()
String	getUnderlyingName()
abstract Map<String,Function<Double,Double>>	getValue(double evaluationTime, CharacteristicFunctionModel model)	Return the value of a family of options with the same maturity for different strikes.

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, compose

Constructor Detail

EuropeanOptionSmile

public EuropeanOptionSmile(String underlyingName,
                           double maturity,
                           double[] strikes)

EuropeanOptionSmile

public EuropeanOptionSmile(double maturity,
                           double[] strikes)

Method Detail

getMaturity

public double getMaturity()

Description copied from interface: SmileByIntegralTransform

Return the maturity of the associated payoff.

Specified by:

getMaturity in interface SmileByIntegralTransform

Returns:

The maturity of the associated payoff.

getStrikes

public double[] getStrikes()

getUnderlyingName

public String getUnderlyingName()

getIntegrationDomainImagLowerBound

public double getIntegrationDomainImagLowerBound()

Description copied from interface: SmileByIntegralTransform

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

Specified by:

getIntegrationDomainImagLowerBound in interface SmileByIntegralTransform

Returns:

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

getIntegrationDomainImagUpperBound

public double getIntegrationDomainImagUpperBound()

Description copied from interface: SmileByIntegralTransform

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

Specified by:

getIntegrationDomainImagUpperBound in interface SmileByIntegralTransform

Returns:

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

getValue

public abstract Map<String,Function<Double,Double>> getValue(double evaluationTime,
                                                                         CharacteristicFunctionModel model)
                                                                  throws CalculationException

Description copied from interface: SmileByIntegralTransform

Return the value of a family of options with the same maturity for different strikes.

Specified by:

getValue in interface SmileByIntegralTransform

Parameters:

evaluationTime - The evaluation time.

model - The model against which the product should be values.

Returns:

The map of product values mapping from strike to value.

Throws:

CalculationException - Thrown if the valuation failed.

getCloneWithModifiedParameters

public abstract EuropeanOptionSmile getCloneWithModifiedParameters(double maturity,
                                                                   double[] strikes)

Returns the same valuation method for different parameters (maturity and strikes).

Parameters:

maturity - The new maturity.

strikes - The new strikes.

Returns:

the same valuation method now referring to a different maturity and strike grid.

apply

public org.apache.commons.math3.complex.Complex apply(org.apache.commons.math3.complex.Complex z)

Specified by:

apply in interface Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>

getDescriptors

public Map<Double,SingleAssetEuropeanOptionProductDescriptor> getDescriptors(LocalDate referenceDate)

Return a collection of product descriptors for each option in the smile.

Parameters:

referenceDate - The reference date (translating the maturity floating point date to dates.

Returns:

a collection of product descriptors for each option in the smile.

getDescriptor

public SingleAssetEuropeanOptionProductDescriptor getDescriptor(LocalDate referenceDate,
                                                                int index)
                                                         throws ArrayIndexOutOfBoundsException

Return a product descriptor for a specific strike.

Parameters:

referenceDate - The reference date (translating the maturity floating point date to dates.

index - The index corresponding to the strike grid.

Returns:

a product descriptor for a specific strike.

Throws:

ArrayIndexOutOfBoundsException - Thrown if index is out of bound.