Module net.finmath.lib

Package net.finmath.montecarlo.hybridassetinterestrate.products

Class WorstOfExpressCertificate

java.lang.Object

net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate

All Implemented Interfaces:

Product

public class WorstOfExpressCertificate
extends Object
implements Product

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
WorstOfExpressCertificate(double maturity, double[] baseLevels, double[] exerciseDates, double[] triggerLevels, double[] redemption, double redemptionFinal)

Method Summary

Modifier and Type	Method	Description
Object	getValue(double evaluationTime, Model model)	Return the valuation of the product using the given model.
double	getValue(double evaluationTime, HybridAssetLIBORModelMonteCarloSimulation model)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface net.finmath.modelling.Product

getValues

Constructor Detail

WorstOfExpressCertificate

public WorstOfExpressCertificate(double maturity,
                                 double[] baseLevels,
                                 double[] exerciseDates,
                                 double[] triggerLevels,
                                 double[] redemption,
                                 double redemptionFinal)

Method Detail

getValue

public Object getValue(double evaluationTime,
                       Model model)

Description copied from interface: Product

Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.

Specified by:

getValue in interface Product

Parameters:

evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.

model - The model under which the product is valued.

Returns:

Object containing the value of the product using the given model.

getValue

public double getValue(double evaluationTime,
                       HybridAssetLIBORModelMonteCarloSimulation model)
                throws CalculationException

Throws:

CalculationException