net.finmath.fouriermethod.products

Class EuropeanOption

java.lang.Object

net.finmath.fouriermethod.products.AbstractProductFourierTransform

net.finmath.fouriermethod.products.EuropeanOption

All Implemented Interfaces:

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

public class EuropeanOption
extends AbstractProductFourierTransform

Implements valuation of a European option on a single asset. Given a model for an asset S, the European option with strike K, maturity T pays
max(S(T) - K , 0) in T
The class implements the characteristic function of the call option payoff, i.e., its Fourier transform.

Constructor Summary

Constructors

Constructor and Description
EuropeanOption(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

Modifier and Type	Method and Description
org.apache.commons.math3.complex.Complex	apply(org.apache.commons.math3.complex.Complex argument)
double	getIntegrationDomainImagLowerBound() Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
double	getIntegrationDomainImagUpperBound() Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
double	getMaturity() Return the maturity of the associated payoff.

Methods inherited from class net.finmath.fouriermethod.products.AbstractProductFourierTransform

getValue

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, compose, identity

Constructor Detail

EuropeanOption

public EuropeanOption(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:

maturity - The maturity T in the option payoff max(S(T)-K,0)

strike - The strike K in the option payoff max(S(T)-K,0).

Method Detail

apply

public org.apache.commons.math3.complex.Complex apply(org.apache.commons.math3.complex.Complex argument)

getMaturity

public double getMaturity()

Description copied from class: AbstractProductFourierTransform

Return the maturity of the associated payoff.

Specified by:

getMaturity in class AbstractProductFourierTransform

Returns:

The maturity of the associated payoff.

getIntegrationDomainImagLowerBound

public double getIntegrationDomainImagLowerBound()

Description copied from class: AbstractProductFourierTransform

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

Specified by:

getIntegrationDomainImagLowerBound in class AbstractProductFourierTransform

Returns:

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

getIntegrationDomainImagUpperBound

public double getIntegrationDomainImagUpperBound()

Description copied from class: AbstractProductFourierTransform

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

Specified by:

getIntegrationDomainImagUpperBound in class AbstractProductFourierTransform

Returns:

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