net.finmath.fouriermethod.products

Class AbstractProductFourierTransform

java.lang.Object

net.finmath.fouriermethod.products.AbstractProductFourierTransform

All Implemented Interfaces:

java.util.function.Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>, CharacteristicFunctionInterface

Direct Known Subclasses:

EuropeanOption

public abstract class AbstractProductFourierTransform
extends java.lang.Object
implements CharacteristicFunctionInterface

Constructor Summary

Constructors

Constructor and Description
AbstractProductFourierTransform()

Method Summary

Modifier and Type	Method and Description
abstract double	getIntegrationDomainImagLowerBound() Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
abstract double	getIntegrationDomainImagUpperBound() Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
abstract double	getMaturity() Return the maturity of the associated payoff.
double	getValue(ProcessCharacteristicFunctionInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

Methods inherited from class java.lang.Object

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

Methods inherited from interface java.util.function.Function

andThen, apply, compose, identity

Constructor Detail

AbstractProductFourierTransform

public AbstractProductFourierTransform()

Method Detail

getValue

public double getValue(ProcessCharacteristicFunctionInterface 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.

Parameters:

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.

getMaturity

public abstract double getMaturity()

Return the maturity of the associated payoff.

Returns:

The maturity of the associated payoff.

getIntegrationDomainImagLowerBound

public abstract double getIntegrationDomainImagLowerBound()

Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.

Returns:

the lower bound of the imaginary part of the domain of integration.

getIntegrationDomainImagUpperBound

public abstract double getIntegrationDomainImagUpperBound()

Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.

Returns:

the upper bound of the imaginary part of the domain of integration.