net.finmath.montecarlo.hybridassetinterestrate.products

Class WorstOfExpressCertificate

java.lang.Object

net.finmath.montecarlo.hybridassetinterestrate.products.WorstOfExpressCertificate

All Implemented Interfaces:

ProductInterface

public class WorstOfExpressCertificate
extends java.lang.Object
implements ProductInterface

Constructor Summary

Constructors

Constructor and Description
WorstOfExpressCertificate(double maturity, double[] baseLevels, double[] exerciseDates, double[] triggerLevels, double[] redemption, double redemptionFinal)

Method Summary

Modifier and Type	Method and Description
double	getValue(double evaluationTime, HybridAssetLIBORModelMonteCarloSimulationInterface model)
java.lang.Object	getValue(double evaluationTime, ModelInterface model) Return the valuation of the product using the given model.

Methods inherited from class java.lang.Object

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

Constructor Detail

WorstOfExpressCertificate

public WorstOfExpressCertificate(double maturity,
                                 double[] baseLevels,
                                 double[] exerciseDates,
                                 double[] triggerLevels,
                                 double[] redemption,
                                 double redemptionFinal)

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 double getValue(double evaluationTime,
                       HybridAssetLIBORModelMonteCarloSimulationInterface model)
                throws CalculationException

Throws:

CalculationException