net.finmath.montecarlo.assetderivativevaluation.products

Class AbstractAssetMonteCarloProduct

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

All Implemented Interfaces:

ProductInterface

Direct Known Subclasses:

AsianOption, BermudanOption, BlackScholesDeltaHedgedPortfolio, BlackScholesHedgedPortfolio, EuropeanOption

public abstract class AbstractAssetMonteCarloProduct
extends AbstractMonteCarloProduct

Base calls for product that need an AbstractLIBORMarketModel as base class

Constructor Summary

Constructors

Constructor and Description
AbstractAssetMonteCarloProduct()

Method Summary

Modifier and Type	Method and Description
abstract RandomVariableInterface	getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface model)
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.

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

AbstractAssetMonteCarloProduct

public AbstractAssetMonteCarloProduct()

Method Detail

getValue

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

Throws:

CalculationException

getValue

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

Description copied from class: AbstractMonteCarloProduct

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.

Specified by:

getValue in class AbstractMonteCarloProduct

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.