Package net.finmath.smartcontract.valuation.oracle.simulated

Class GeometricBrownianMotionOracle

java.lang.Object

net.finmath.smartcontract.valuation.oracle.simulated.GeometricBrownianMotionOracle

All Implemented Interfaces:

StochasticValuationOracle

public class GeometricBrownianMotionOracle
extends Object
implements StochasticValuationOracle

A dummy oracle which generates values using a geometric Brownian motion.

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
GeometricBrownianMotionOracle()	A dummy oracle which generates values using a geometric Brownian motion.
GeometricBrownianMotionOracle(LocalDateTime initialTime)	A dummy oracle which generates values using a geometric Brownian motion.
GeometricBrownianMotionOracle(LocalDateTime initialTime, double initialValue, double timeHorizon, double riskFreeRate, double volatility, int numberOfPaths)	A dummy oracle which generates values using a geometric Brownian motion.
GeometricBrownianMotionOracle(net.finmath.time.TimeDiscretization timeDiscretization, LocalDateTime initialTime, double initialValue, double riskFreeRate, double volatility, int numberOfPaths)

Method Summary

Modifier and Type	Method	Description
net.finmath.stochastic.RandomVariable	getValue(LocalDateTime evaluationTime, LocalDateTime marketDataTime)	Provides that value of the Oracle at a given evaluation time.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

GeometricBrownianMotionOracle

public GeometricBrownianMotionOracle()

A dummy oracle which generates values using a geometric Brownian motion.

Using default parameters.

Caution: The object is initialized with LocalDateTime.now(). This will result in different Oracles each time the object is instantiated.

GeometricBrownianMotionOracle

public GeometricBrownianMotionOracle(LocalDateTime initialTime)

A dummy oracle which generates values using a geometric Brownian motion.

Using a given initial time and default parameters.

Parameters:

initialTime - The date corresponding to the initial time of the oracle. Valuation prior this time is not provided.

GeometricBrownianMotionOracle

public GeometricBrownianMotionOracle(LocalDateTime initialTime,
 double initialValue,
 double timeHorizon,
 double riskFreeRate,
 double volatility,
 int numberOfPaths)

A dummy oracle which generates values using a geometric Brownian motion.

Using a given initial time and default parameters.

Parameters:

initialTime - The date corresponding to the initial time of the oracle. Valuation prior this time is not provided.

initialValue - The initial value.

timeHorizon - The time horizon in ACT/365 from initialTime.

riskFreeRate - The drift.

volatility - The volatility.

numberOfPaths - The number of simulation path to generate.

GeometricBrownianMotionOracle

public GeometricBrownianMotionOracle(net.finmath.time.TimeDiscretization timeDiscretization,
 LocalDateTime initialTime,
 double initialValue,
 double riskFreeRate,
 double volatility,
 int numberOfPaths)

Method Details

getValue

public net.finmath.stochastic.RandomVariable getValue(LocalDateTime evaluationTime,
 LocalDateTime marketDataTime)

Description copied from interface: StochasticValuationOracle

Provides that value of the Oracle at a given evaluation time.

Specified by:

getValue in interface StochasticValuationOracle

Parameters:

evaluationTime - The evaluation time.

marketDataTime - The market data time.

Returns:

The value.