net.finmath.montecarlo.assetderivativevaluation.products

Class BlackScholesDeltaHedgedPortfolio

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.BlackScholesDeltaHedgedPortfolio

All Implemented Interfaces:

ProductInterface

public class BlackScholesDeltaHedgedPortfolio
extends AbstractAssetMonteCarloProduct

This class implements a delta hedged portfolio of an European option (a hedge simulator). The hedge is done under the assumption of a Black Scholes Model (even if the pricing model is a different one).

Constructor Summary

Constructors

Constructor and Description
BlackScholesDeltaHedgedPortfolio(double maturity, double strike, double riskFreeRate, double volatility) Construction of a delta hedge portfolio assuming a Black-Scholes model.

Method Summary

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

Methods inherited from class net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

getValue

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

BlackScholesDeltaHedgedPortfolio

public BlackScholesDeltaHedgedPortfolio(double maturity,
                                        double strike,
                                        double riskFreeRate,
                                        double volatility)

Construction of a delta hedge portfolio assuming a Black-Scholes model.

Parameters:

maturity - Maturity of the option we wish to replicate.

strike - Strike of the option we wish to replicate.

riskFreeRate - Model riskFreeRate assumption for our delta hedge.

volatility - Model volatility assumption for our delta hedge.

Method Detail

getValue

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

Specified by:

getValue in class AbstractAssetMonteCarloProduct

Throws:

CalculationException