net.finmath.montecarlo.assetderivativevaluation.products

Class EuropeanOption

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.AbstractAssetMonteCarloProduct

net.finmath.montecarlo.assetderivativevaluation.products.EuropeanOption

All Implemented Interfaces:

ProductInterface

public class EuropeanOption
extends AbstractAssetMonteCarloProduct

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

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).
EuropeanOption(double maturity, double strike, int underlyingIndex) 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
RandomVariableInterface	getValue(double evaluationTime, AssetModelMonteCarloSimulationInterface 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.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

EuropeanOption

public EuropeanOption(double maturity,
                      double strike,
                      int underlyingIndex)

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).

underlyingIndex - The index of the underlying to be fetched from the model.

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

getValue

public RandomVariableInterface getValue(double evaluationTime,
                                        AssetModelMonteCarloSimulationInterface 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.

Specified by:

getValue in class AbstractAssetMonteCarloProduct

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.