net.finmath.montecarlo

Class AbstractMonteCarloProduct

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

All Implemented Interfaces:

ProductInterface

Direct Known Subclasses:

AbstractAssetMonteCarloProduct, AbstractLIBORMonteCarloProduct, PortfolioMonteCarloProduct, SwaprateCovarianceAnalyticApproximation

public abstract class AbstractMonteCarloProduct
extends java.lang.Object
implements ProductInterface

Base class for products requiring an MonteCarloSimulationInterface for valuation.

Constructor Summary

Constructors

Constructor and Description
AbstractMonteCarloProduct()
AbstractMonteCarloProduct(java.lang.String currency)

Method Summary

Modifier and Type	Method and Description
java.lang.String	getCurrency() Returns the currency string of this notional.
java.lang.Object	getValue(double evaluationTime, ModelInterface model) Return the valuation of the product using the given model.
abstract RandomVariableInterface	getValue(double evaluationTime, MonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
double	getValue(MonteCarloSimulationInterface model) This method returns the value of the product under the specified model.
java.util.Map<java.lang.String,java.lang.Object>	getValues(double evaluationTime, MonteCarloSimulationInterface model) This method returns the value of the product under the specified model and other information in a key-value map.
java.util.Map<java.lang.String,java.lang.Object>	getValues(MonteCarloSimulationInterface model) This method returns the value of the product under the specified model and other information in a key-value map.
java.util.Map<java.lang.String,java.lang.Object>	getValuesForModifiedData(double evaluationTime, MonteCarloSimulationInterface model, java.util.Map<java.lang.String,java.lang.Object> dataModified) This method returns the value under shifted market data (or model parameters).
java.util.Map<java.lang.String,java.lang.Object>	getValuesForModifiedData(double evaluationTime, MonteCarloSimulationInterface model, java.lang.String entityKey, java.lang.Object dataModified) This method returns the value under shifted market data (or model parameters).
java.util.Map<java.lang.String,java.lang.Object>	getValuesForModifiedData(MonteCarloSimulationInterface model, java.util.Map<java.lang.String,java.lang.Object> dataModified) This method returns the value under shifted market data (or model parameters).
java.util.Map<java.lang.String,java.lang.Object>	getValuesForModifiedData(MonteCarloSimulationInterface model, java.lang.String entityKey, java.lang.Object dataModified) This method returns the value under shifted market data (or model parameters).
java.lang.String	toString()

Methods inherited from class java.lang.Object

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

Constructor Detail

AbstractMonteCarloProduct

public AbstractMonteCarloProduct(java.lang.String currency)

AbstractMonteCarloProduct

public AbstractMonteCarloProduct()

Method Detail

getValue

public java.lang.Object getValue(double evaluationTime,
                                 ModelInterface model)

Description copied from interface: ProductInterface

Return the valuation of the product using the given model.

Specified by:

getValue in interface ProductInterface

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:

The value of the product using the given model.

getValue

public abstract RandomVariableInterface getValue(double evaluationTime,
                                                 MonteCarloSimulationInterface model)
                                          throws CalculationException

This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. 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. More generally: The value random variable is a random variable V^*(t) such that the time-t conditional expectation of V^*(t) is equal to the value of the financial product in time t. An example for V^*(t) is the sum of t-discounted payoffs. Cashflows prior evaluationTime are not considered.

Parameters:

evaluationTime - The time on which this products value should be observed.

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.

getValue

public double getValue(MonteCarloSimulationInterface model)
                throws CalculationException

This method returns the value of the product under the specified model.

Parameters:

model - A model used to evaluate the product.

Returns:

The value of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValues

public java.util.Map<java.lang.String,java.lang.Object> getValues(double evaluationTime,
                                                                  MonteCarloSimulationInterface model)
                                                           throws CalculationException

This method returns the value of the product under the specified model and other information in a key-value map.

Parameters:

evaluationTime - The time on which this products value should be observed.

model - A model used to evaluate the product.

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValuesForModifiedData

public java.util.Map<java.lang.String,java.lang.Object> getValuesForModifiedData(double evaluationTime,
                                                                                 MonteCarloSimulationInterface model,
                                                                                 java.util.Map<java.lang.String,java.lang.Object> dataModified)
                                                                          throws CalculationException

This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product, except for the market data to modify

dataModified - The new market data object to use (could be of different types)

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValuesForModifiedData

public java.util.Map<java.lang.String,java.lang.Object> getValuesForModifiedData(double evaluationTime,
                                                                                 MonteCarloSimulationInterface model,
                                                                                 java.lang.String entityKey,
                                                                                 java.lang.Object dataModified)
                                                                          throws CalculationException

This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product, except for the market data to modify

entityKey - The entity to change, it depends on the model if the model reacts to this key.

dataModified - The new market data object to use (could be of different types)

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValues

public java.util.Map<java.lang.String,java.lang.Object> getValues(MonteCarloSimulationInterface model)
                                                           throws CalculationException

This method returns the value of the product under the specified model and other information in a key-value map.

Parameters:

model - A model used to evaluate the product.

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValuesForModifiedData

public java.util.Map<java.lang.String,java.lang.Object> getValuesForModifiedData(MonteCarloSimulationInterface model,
                                                                                 java.util.Map<java.lang.String,java.lang.Object> dataModified)
                                                                          throws CalculationException

This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).

Parameters:

model - The model used to price the product, except for the market data to modify

dataModified - The new market data object to use (could be of different types)

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getValuesForModifiedData

public java.util.Map<java.lang.String,java.lang.Object> getValuesForModifiedData(MonteCarloSimulationInterface model,
                                                                                 java.lang.String entityKey,
                                                                                 java.lang.Object dataModified)
                                                                          throws CalculationException

This method returns the value under shifted market data (or model parameters). In its default implementation it does bump (creating a new model) and revalue. Override the way the new model is created, to implemented improved techniques (proxy scheme, re-calibration).

Parameters:

model - The model used to price the product, except for the market data to modify

entityKey - The entity to change, it depends on the model if the model reacts to this key.

dataModified - The new market data object to use (could be of different types)

Returns:

The values of the product.

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getCurrency

public java.lang.String getCurrency()

Returns the currency string of this notional.

Returns:

the currency

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object