net.finmath.fouriermethod.products

Interface FourierTransformProduct

All Superinterfaces:

Product

All Known Implementing Classes:

AbstractFourierTransformProduct, DigitalOption, EuropeanOption, SingleAssetFourierProductFactory.DigitalOptionFourierMethod, SingleAssetFourierProductFactory.EuropeanOptionFourierMethod

public interface FourierTransformProduct
extends Product

Version:

1.0

Author:

Christian Fries

Method Summary

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.