BlackScholesDeltaHedgedPortfolio (finmath lib 5.0.2 API)

java.lang.Object
- net.finmath.montecarlo.AbstractMonteCarloProduct
- - net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct
  - - net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct
```
public class BlackScholesDeltaHedgedPortfolio
extends AbstractAssetMonteCarloProduct
```
This class implements a delta hedged portfolio of an European option (a hedge simulator). The hedge is done under the assumption of a Black Scholes Model (even if the pricing model is a different one). The getValue-method returns the random variable \( \Pi(t) \) representing the value of the replication portfolio \( \Pi(t) = \phi_0(t) N(t) + \phi_1(t) S(t) \).

Version:

1.1

Author:

Christian Fries

Constructor Summary

Constructors
Constructor	Description
`BlackScholesDeltaHedgedPortfolio(double maturity, double strike, double riskFreeRate, double volatility)`	Construction of a delta hedge portfolio assuming a Black-Scholes model.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type Method Description

RandomVariable getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)
- 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
  - BlackScholesDeltaHedgedPortfolio
```
public BlackScholesDeltaHedgedPortfolio(double maturity,
                                        double strike,
                                        double riskFreeRate,
                                        double volatility)
```
    Construction of a delta hedge portfolio assuming a Black-Scholes model.
    
    Parameters:
    
    maturity - Maturity of the option we wish to replicate.
    
    strike - Strike of the option we wish to replicate.
    
    riskFreeRate - Model riskFreeRate assumption for our delta hedge.
    
    volatility - Model volatility assumption for our delta hedge.
- Method Detail
  - getValue
```
public RandomVariable getValue(double evaluationTime,
                               AssetModelMonteCarloSimulationModel model)
                        throws CalculationException
```
    Specified by:
    
    getValue in interface AssetMonteCarloProduct
    
    Specified by:
    
    getValue in class AbstractAssetMonteCarloProduct
    
    Throws:
    
    CalculationException