EuropeanOptionVegaPathwise (finmath lib 5.0.2 API)

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

All Implemented Interfaces:

Product, AssetMonteCarloProduct, MonteCarloProduct
```
public class EuropeanOptionVegaPathwise
extends AbstractAssetMonteCarloProduct
```
Implements calculation of the vega 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
`EuropeanOptionVegaPathwise(double maturity, double strike)`	Construct a product representing the vega of a European option on an asset S.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`RandomVariable`	`getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model)`
`double`	`getValue(AssetModelMonteCarloSimulationModel model)`	Calculates the vega of the option under a given model using the pathwise method.

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
  - EuropeanOptionVegaPathwise
```
public EuropeanOptionVegaPathwise(double maturity,
                                  double strike)
```
    Construct a product representing the vega of a European option on an asset S. The implementation assumes a Black-Scholes model.
    
    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 vega of the option under a given model using the pathwise method.
    
    Parameters:
    
    model - A reference to a model
    
    Returns:
    
    the value
    
    Throws:
    
    CalculationException - Thrown if the valuation fails, specific cause may be available via cause().
  - getValue
```
public RandomVariable getValue(double evaluationTime,
                               AssetModelMonteCarloSimulationModel model)
```
    Specified by:
    
    getValue in interface AssetMonteCarloProduct
    
    Specified by:
    
    getValue in class AbstractAssetMonteCarloProduct