finMath lib documentation
net.finmath.fouriermethod.products

Class AbstractFourierTransformProduct

• java.lang.Object
• net.finmath.fouriermethod.products.AbstractFourierTransformProduct
• Constructor Summary

Constructors
Constructor and Description
AbstractFourierTransformProduct()
• Method Summary

All Methods
Modifier and Type Method and Description
abstract double getIntegrationDomainImagLowerBound()
Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
abstract double getIntegrationDomainImagUpperBound()
Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
abstract double getMaturity()
Return the maturity of the associated payoff.
double getValue(CharacteristicFunctionModel model)
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
Double getValue(double evaluationTime, Model model)
Return the valuation of the product using the given model.
Map<String,Object> getValues(double evaluationTime, Model model)
Return the valuation of the product using the given model.
• Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• Methods inherited from interface java.util.function.Function

andThen, apply, compose, identity
• Constructor Detail

• AbstractFourierTransformProduct

public AbstractFourierTransformProduct()
• Method Detail

• getValue

public Double getValue(double evaluationTime,
Model model)
Description copied from interface: Product
Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.
Specified by:
getValue in interface FourierTransformProduct
Specified by:
getValue in interface Product
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:
Object containing the value of the product using the given model.
• getValues

public Map<String,Object> getValues(double evaluationTime,
Model model)
Description copied from interface: Product
Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.
Specified by:
getValues in interface FourierTransformProduct
Specified by:
getValues in interface Product
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:
Map containing the value of the product using the given model.
• getValue

public double getValue(CharacteristicFunctionModel model)
throws CalculationException
Description copied from interface: FourierTransformProduct
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 interface FourierTransformProduct
Parameters:
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.
• getMaturity

public abstract double getMaturity()
Description copied from interface: FourierTransformProduct
Return the maturity of the associated payoff.
Specified by:
getMaturity in interface FourierTransformProduct
Returns:
The maturity of the associated payoff.
• getIntegrationDomainImagLowerBound

public abstract double getIntegrationDomainImagLowerBound()
Description copied from interface: FourierTransformProduct
Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
Specified by:
getIntegrationDomainImagLowerBound in interface FourierTransformProduct
Returns:
the lower bound of the imaginary part of the domain of integration.
• getIntegrationDomainImagUpperBound

public abstract double getIntegrationDomainImagUpperBound()
Description copied from interface: FourierTransformProduct
Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
Specified by:
getIntegrationDomainImagUpperBound in interface FourierTransformProduct
Returns:
the upper bound of the imaginary part of the domain of integration.