net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation

Class MonteCarloBlackScholesModel2

java.lang.Object

net.finmath.montecarlo.templatemethoddesign.LogNormalProcess

net.finmath.montecarlo.templatemethoddesign.assetderivativevaluation.MonteCarloBlackScholesModel2

All Implemented Interfaces:

AssetModelMonteCarloSimulationInterface, MonteCarloSimulationInterface

public class MonteCarloBlackScholesModel2
extends LogNormalProcess
implements AssetModelMonteCarloSimulationInterface

Monte Carlo simulation of a simple Black-Scholes model for a stock generated discrete process

Nested Class Summary

Nested classes/interfaces inherited from class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess

LogNormalProcess.Scheme

Constructor Summary

Constructors

Constructor and Description
MonteCarloBlackScholesModel2(TimeDiscretizationInterface timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility) Create a Monte-Carlo simulation using given time discretization.
MonteCarloBlackScholesModel2(TimeDiscretizationInterface timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility, int seed) Create a Monte-Carlo simulation using given time discretization.

Method Summary

Modifier and Type	Method and Description
RandomVariableInterface	getAssetValue(double time, int assetIndex) Returns the random variable representing the asset's value at a given time for a given asset.
RandomVariableInterface	getAssetValue(int timeIndex, int assetIndex) Returns the random variable representing the asset's value at a given time for a given asset.
AssetModelMonteCarloSimulationInterface	getCloneWithModifiedData(java.util.Map<java.lang.String,java.lang.Object> dataModified) Create a clone of this simulation modifying some of its properties (if any).
AssetModelMonteCarloSimulationInterface	getCloneWithModifiedSeed(int seed) Create a clone of the object implementing AssetModelMonteCarloSimulationInterface using a different Monte-Carlo seed.
RandomVariableInterface	getDrift(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor)
RandomVariableInterface	getFactorLoading(int timeIndex, int factor, int component, RandomVariableInterface[] realizationAtTimeIndex) This method should be overwritten and return the factor loading, i.e.
RandomVariableInterface[]	getInitialValue()
RandomVariableInterface	getMonteCarloWeights(double time) This method returns the weights of a weighted Monte Carlo method (the probability density).
int	getNumberOfAssets() Returns the number of asset price processes.
RandomVariableInterface	getNumeraire(double time) Returns the numeraire associated with the valuation measure used by this model.
RandomVariableInterface	getNumeraire(int timeIndex) Returns the numeraire associated with the valuation measure used by this model.
RandomVariableInterface	getRandomVariableForConstant(double value) Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationInterface.
double	getRiskFreeRate() Returns the riskFreeRate.
double	getVolatility() Returns the volatility.
java.lang.String	toString()

Methods inherited from class net.finmath.montecarlo.templatemethoddesign.LogNormalProcess

getBrownianMotion, getDrift, getMonteCarloWeights, getNumberOfComponents, getNumberOfFactors, getNumberOfPaths, getProcessValue, getProcessValue, getScheme, getTime, getTimeDiscretization, getTimeIndex, setScheme

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.MonteCarloSimulationInterface

getMonteCarloWeights, getNumberOfPaths, getTime, getTimeDiscretization, getTimeIndex

Constructor Detail

MonteCarloBlackScholesModel2

public MonteCarloBlackScholesModel2(TimeDiscretizationInterface timeDiscretization,
                                    int numberOfPaths,
                                    double initialValue,
                                    double riskFreeRate,
                                    double volatility)

Create a Monte-Carlo simulation using given time discretization.

Parameters:

timeDiscretization - The time discretization

numberOfPaths - The number of Monte-Carlo path to be used

initialValue - Spot value

riskFreeRate - The risk free rate

volatility - The log volatility

MonteCarloBlackScholesModel2

public MonteCarloBlackScholesModel2(TimeDiscretizationInterface timeDiscretization,
                                    int numberOfPaths,
                                    double initialValue,
                                    double riskFreeRate,
                                    double volatility,
                                    int seed)

Create a Monte-Carlo simulation using given time discretization.

Parameters:

timeDiscretization - The time discretization.

numberOfPaths - The number of Monte-Carlo path to be used.

initialValue - Spot value.

riskFreeRate - The risk free rate.

volatility - The log volatility.

seed - The seed for the random number generator.

Method Detail

getNumberOfAssets

public int getNumberOfAssets()

Description copied from interface: AssetModelMonteCarloSimulationInterface

Returns the number of asset price processes.

Specified by:

getNumberOfAssets in interface AssetModelMonteCarloSimulationInterface

Returns:

The number of asset price processes

getInitialValue

public RandomVariableInterface[] getInitialValue()

Specified by:

getInitialValue in class LogNormalProcess

Returns:

Returns the initialValue.

getDrift

public RandomVariableInterface getDrift(int timeIndex,
                                        int componentIndex,
                                        RandomVariableInterface[] realizationAtTimeIndex,
                                        RandomVariableInterface[] realizationPredictor)

Specified by:

getDrift in class LogNormalProcess

getFactorLoading

public RandomVariableInterface getFactorLoading(int timeIndex,
                                                int factor,
                                                int component,
                                                RandomVariableInterface[] realizationAtTimeIndex)

Description copied from class: LogNormalProcess

This method should be overwritten and return the factor loading, i.e. the coeffient λ(i,j) such that
dS(j) = (...) dt + S(j) * (λ(1,j) dW(1) + ... + λ(m,j) dW(m))
in an m-factor model. Here j denotes index of the component of the resulting log-normal process and i denotes the index of the factor.

Overwrite this method if you would like to implement a multi factor model.

Specified by:

getFactorLoading in class LogNormalProcess

Parameters:

timeIndex - The time index of the simulation time discretization.

factor - The factor index.

component - The component index.

realizationAtTimeIndex - The realization at the current time index.

Returns:

factor loading for given factor and component

getAssetValue

public RandomVariableInterface getAssetValue(int timeIndex,
                                             int assetIndex)

Description copied from interface: AssetModelMonteCarloSimulationInterface

Returns the random variable representing the asset's value at a given time for a given asset.

Specified by:

getAssetValue in interface AssetModelMonteCarloSimulationInterface

Parameters:

timeIndex - Index of simulation time

assetIndex - Index of the asset (0 for a single asset model)

Returns:

The asset process as seen on simulation time

getAssetValue

public RandomVariableInterface getAssetValue(double time,
                                             int assetIndex)

Description copied from interface: AssetModelMonteCarloSimulationInterface

Returns the random variable representing the asset's value at a given time for a given asset.

Specified by:

getAssetValue in interface AssetModelMonteCarloSimulationInterface

Parameters:

time - Simulation time

assetIndex - Index of the asset (0 for a single asset model)

Returns:

The asset process as seen on simulation time

getMonteCarloWeights

public RandomVariableInterface getMonteCarloWeights(double time)

Description copied from interface: MonteCarloSimulationInterface

This method returns the weights of a weighted Monte Carlo method (the probability density).

Specified by:

getMonteCarloWeights in interface MonteCarloSimulationInterface

Parameters:

time - Time at which the process should be observed

Returns:

A vector of positive weights which sums up to one

getNumeraire

public RandomVariableInterface getNumeraire(int timeIndex)

Description copied from interface: AssetModelMonteCarloSimulationInterface

Returns the numeraire associated with the valuation measure used by this model.

Specified by:

getNumeraire in interface AssetModelMonteCarloSimulationInterface

Parameters:

timeIndex - The time index (associated with this models time discretization).

Returns:

The numeraire associated with the valuation measure used by this model.

getNumeraire

public RandomVariableInterface getNumeraire(double time)

Description copied from interface: AssetModelMonteCarloSimulationInterface

Returns the numeraire associated with the valuation measure used by this model.

Specified by:

getNumeraire in interface AssetModelMonteCarloSimulationInterface

Parameters:

time - The time for which the numeraire is requested.

Returns:

The numeraire associated with the valuation measure used by this model.

getRandomVariableForConstant

public RandomVariableInterface getRandomVariableForConstant(double value)

Description copied from interface: MonteCarloSimulationInterface

Returns a random variable which is initialized to a constant, but has exactly the same number of paths or discretization points as the ones used by this MonteCarloSimulationInterface.

Specified by:

getRandomVariableForConstant in interface MonteCarloSimulationInterface

Parameters:

value - The constant value to be used for initialized the random variable.

Returns:

A new random variable.

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object

getRiskFreeRate

public double getRiskFreeRate()

Returns the riskFreeRate.

Returns:

The riskFreeRate.

getVolatility

public double getVolatility()

Returns the volatility.

Returns:

The volatility.

getCloneWithModifiedSeed

public AssetModelMonteCarloSimulationInterface getCloneWithModifiedSeed(int seed)

Description copied from interface: AssetModelMonteCarloSimulationInterface

Create a clone of the object implementing AssetModelMonteCarloSimulationInterface using a different Monte-Carlo seed.

Specified by:

getCloneWithModifiedSeed in interface AssetModelMonteCarloSimulationInterface

Parameters:

seed - The seed of the underlying random number generator.

Returns:

Returns a clone of this model except for a modified Monte-Carlo seed.

getCloneWithModifiedData

public AssetModelMonteCarloSimulationInterface getCloneWithModifiedData(java.util.Map<java.lang.String,java.lang.Object> dataModified)

Description copied from interface: AssetModelMonteCarloSimulationInterface

Create a clone of this simulation modifying some of its properties (if any).

Specified by:

getCloneWithModifiedData in interface AssetModelMonteCarloSimulationInterface

Specified by:

getCloneWithModifiedData in interface MonteCarloSimulationInterface

Parameters:

dataModified - The data which should be changed in the new model

Returns:

Returns a clone of this model, with some data modified (then it is no longer a clone :-)