Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.products

Class AsianOption

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AsianOption

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct

public class AsianOption
extends AbstractAssetMonteCarloProduct

Implements the valuation of an Asian option. Given a model for an asset S, the Asian option with strike K, maturity T and averaging points T_i for i = 1,...,n pays
max(A(T) - K , 0) in T
where
A(T) = 1/n (S(T₁)+ ... + S(T_n))

Version:

1.2

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
AsianOption(double maturity, double strike, TimeDiscretization timesForAveraging)	Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).
AsianOption(double maturity, double strike, TimeDiscretization timesForAveraging, Integer underlyingIndex)	Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case).

Method Summary

Modifier and Type	Method	Description
RandomVariable	getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

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

AsianOption

public AsianOption(double maturity,
                   double strike,
                   TimeDiscretization timesForAveraging,
                   Integer underlyingIndex)

Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case). A(T) = 1/n sum_{i=1,...,n} S(t_i), where t_i are given observation times.

Parameters:

strike - The strike K in the option payoff max(A(T)-K,0).

maturity - The maturity T in the option payoff maxAS(T)-K,0)

timesForAveraging - The times t_i used in the calculation of A(T) = 1/n sum_{i=1,...,n} S(t_i).

underlyingIndex - The index of the asset S to be fetched from the model

AsianOption

public AsianOption(double maturity,
                   double strike,
                   TimeDiscretization timesForAveraging)

Construct a product representing an Asian option on an asset S (where S the asset with index 0 from the model - single asset case). A(T) = 1/n sum_{i=1,...,n} S(t_i), where t_i are given observation times.

Parameters:

strike - The strike K in the option payoff max(A(T)-K,0).

maturity - The maturity T in the option payoff maxAS(T)-K,0)

timesForAveraging - The times t_i used in the calculation of A(T) = 1/n sum_{i=1,...,n} S(t_i).

Method Detail

getValue

public RandomVariable getValue(double evaluationTime,
                               AssetModelMonteCarloSimulationModel model)
                        throws CalculationException

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 AssetMonteCarloProduct

Specified by:

getValue in class AbstractAssetMonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

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.