EuropeanOptionGammaPathwise (finmath lib 5.0.2 API)

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

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct
```
public class EuropeanOptionGammaPathwise
extends AbstractAssetMonteCarloProduct
```
Implements calculation of the delta of a European option using the pathwise method.

Since:

finmath-lib 4.2.0

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors
Constructor	Description
`EuropeanOptionGammaPathwise(double maturity, double strike)`	Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`RandomVariableAccumulator`	`getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)`
`double`	`getValue(AssetModelMonteCarloSimulationModel model)`	Calculates the value of the option under a given 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
  - EuropeanOptionGammaPathwise
```
public EuropeanOptionGammaPathwise(double maturity,
                                   double strike)
```
    Construct a product representing an European option on an asset S (where S the asset with index 0 from the model - single asset case).
    
    Parameters:
    
    strike - The strike K in the option payoff max(S(T)-K,0).
    
    maturity - The maturity T in the option payoff max(S(T)-K,0)
- Method Detail
  - getValue
```
public double getValue(AssetModelMonteCarloSimulationModel model)
                throws CalculationException
```
    Calculates the value of the option under a given model.
    
    Parameters:
    
    model - A reference to a model
    
    Returns:
    
    the value
    
    Throws:
    
    CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.
  - getValue
```
public RandomVariableAccumulator getValue(double evaluationTime,
                                          AssetModelMonteCarloSimulationModel model)
```
    Specified by:
    
    getValue in interface AssetMonteCarloProduct
    
    Specified by:
    
    getValue in class AbstractAssetMonteCarloProduct