finMath lib documentation
net.finmath.fouriermethod.products

## Interface FourierTransformProduct

• ### Method Summary

All Methods
Modifier and Type Method and Description
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.
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.
• ### Method Detail

• #### getValue

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 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

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 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

double getValue(CharacteristicFunctionModel 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.
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

double getMaturity()
Return the maturity of the associated payoff.
Returns:
The maturity of the associated payoff.
• #### getIntegrationDomainImagLowerBound

double getIntegrationDomainImagLowerBound()
Return the lower bound of the imaginary part of the domain where the characteristic function can be integrated.
Returns:
the lower bound of the imaginary part of the domain of integration.
• #### getIntegrationDomainImagUpperBound

double getIntegrationDomainImagUpperBound()
Return the upper bound of the imaginary part of the domain where the characteristic function can be integrated.
Returns:
the upper bound of the imaginary part of the domain of integration.