finMath lib documentation
net.finmath.fouriermethod.products

## Class DigitalOption

• All Implemented Interfaces:
Function<org.apache.commons.math3.complex.Complex,org.apache.commons.math3.complex.Complex>, CharacteristicFunction, FourierTransformProduct, Product
Direct Known Subclasses:
SingleAssetFourierProductFactory.DigitalOptionFourierMethod

public class DigitalOption
extends AbstractFourierTransformProduct
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
indicator(S(T) - K) in T
The class implements the characteristic function of the call option payoff, i.e., its Fourier transform.
Version:
1.0
Author:
Christian Fries
• ### Constructor Summary

Constructors
Constructor and Description
DigitalOption(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).
• ### Method Summary

All Methods
Modifier and Type Method and Description
org.apache.commons.math3.complex.Complex apply(org.apache.commons.math3.complex.Complex argument)
double getIntegrationDomainImagLowerBound()
Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
double getIntegrationDomainImagUpperBound()
Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
double getMaturity()
Return the maturity of the associated payoff.
• ### Methods inherited from class net.finmath.fouriermethod.products.AbstractFourierTransformProduct

getValue, getValue, getValues
• ### 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, compose, identity
• ### Constructor Detail

• #### DigitalOption

public DigitalOption(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

• #### apply

public org.apache.commons.math3.complex.Complex apply(org.apache.commons.math3.complex.Complex argument)
• #### getMaturity

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

public 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
Specified by:
getIntegrationDomainImagLowerBound in class AbstractFourierTransformProduct
Returns:
the lower bound of the imaginary part of the domain of integration.
• #### getIntegrationDomainImagUpperBound

public 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
Specified by:
getIntegrationDomainImagUpperBound in class AbstractFourierTransformProduct
Returns:
the upper bound of the imaginary part of the domain of integration.