Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation

Class MonteCarloBlackScholesModel

java.lang.Object

net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel

net.finmath.montecarlo.assetderivativevaluation.MonteCarloBlackScholesModel

All Implemented Interfaces:

Model, AssetModelMonteCarloSimulationModel, MonteCarloSimulationModel

public class MonteCarloBlackScholesModel
extends MonteCarloAssetModel

This class glues together a BlackScholeModel and a Monte-Carlo implementation of a MonteCarloProcessFromProcessModel and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationModel. The model is \[ dS = r S dt + \sigma S dW, \quad S(0) = S_{0}, \] \[ dN = r N dt, \quad N(0) = N_{0}, \] The class provides the model of S to an MonteCarloProcess via the specification of \( f = exp \), \( \mu = r - \frac{1}{2} \sigma^2 \), \( \lambda_{1,1} = \sigma \), i.e., of the SDE \[ dX = \mu dt + \lambda_{1,1} dW, \quad X(0) = \log(S_{0}), \] with \( S = f(X) \). See MonteCarloProcess for the notation.

Version:

1.0

Author:

Christian Fries

See Also:

The interface for numerical schemes., The interface for models provinding parameters to numerical schemes.

Constructor Summary

Constructors

Constructor	Description
MonteCarloBlackScholesModel(double initialValue, double riskFreeRate, double volatility, BrownianMotion brownianMotion)	Create a Monte-Carlo simulation using given process discretization scheme.
MonteCarloBlackScholesModel(TimeDiscretization timeDiscretization, int numberOfPaths, double initialValue, double riskFreeRate, double volatility)	Create a Monte-Carlo simulation using given time discretization.

Method Summary

Modifier and Type	Method	Description
RandomVariable	getAssetValue(double time, int assetIndex)	Returns the random variable representing the asset's value at a given time for a given asset.
MonteCarloBlackScholesModel	getCloneWithModifiedData(Map<String,Object> dataModified)	Create a clone of this simulation modifying some of its properties (if any).
AssetModelMonteCarloSimulationModel	getCloneWithModifiedSeed(int seed)	The method is not implemented.
BlackScholesModel	getModel()	Returns the BlackScholesModel used for this Monte-Carlo simulation.

Methods inherited from class net.finmath.montecarlo.assetderivativevaluation.MonteCarloAssetModel

getAssetValue, getMonteCarloWeights, getMonteCarloWeights, getNumberOfAssets, getNumberOfPaths, getNumeraire, getNumeraire, getProcess, getRandomVariableForConstant, getReferenceDate, getTime, getTimeDiscretization, getTimeIndex, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

MonteCarloBlackScholesModel

public MonteCarloBlackScholesModel(double initialValue,
                                   double riskFreeRate,
                                   double volatility,
                                   BrownianMotion brownianMotion)

Create a Monte-Carlo simulation using given process discretization scheme.

Parameters:

initialValue - Spot value

riskFreeRate - The risk free rate

volatility - The log volatility

brownianMotion - The brownian motion driving the model.

MonteCarloBlackScholesModel

public MonteCarloBlackScholesModel(TimeDiscretization timeDiscretization,
                                   int numberOfPaths,
                                   double initialValue,
                                   double riskFreeRate,
                                   double volatility)

Create a Monte-Carlo simulation using given time discretization.

Parameters:

timeDiscretization - The time discretization.

numberOfPaths - The number of Monte-Carlo path to be used.

initialValue - Spot value.

riskFreeRate - The risk free rate.

volatility - The log volatility.

Method Detail

getAssetValue

public RandomVariable getAssetValue(double time,
                                    int assetIndex)
                             throws CalculationException

Description copied from interface: AssetModelMonteCarloSimulationModel

Returns the random variable representing the asset's value at a given time for a given asset.

Specified by:

getAssetValue in interface AssetModelMonteCarloSimulationModel

Overrides:

getAssetValue in class MonteCarloAssetModel

Parameters:

time - Simulation time

assetIndex - Index of the asset (0 for a single asset model)

Returns:

The asset process as seen on simulation time

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

getCloneWithModifiedData

public MonteCarloBlackScholesModel getCloneWithModifiedData(Map<String,Object> dataModified)

Description copied from interface: AssetModelMonteCarloSimulationModel

Create a clone of this simulation modifying some of its properties (if any).

Specified by:

getCloneWithModifiedData in interface AssetModelMonteCarloSimulationModel

Specified by:

getCloneWithModifiedData in interface MonteCarloSimulationModel

Overrides:

getCloneWithModifiedData in class MonteCarloAssetModel

Parameters:

dataModified - The data which should be changed in the new model

Returns:

Returns a clone of this model, with some data modified (then it is no longer a clone :-)

getCloneWithModifiedSeed

public AssetModelMonteCarloSimulationModel getCloneWithModifiedSeed(int seed)

Description copied from class: MonteCarloAssetModel

The method is not implemented. Instead call getCloneWithModifiedData on the model an create a new process from it.

Specified by:

getCloneWithModifiedSeed in interface AssetModelMonteCarloSimulationModel

Overrides:

getCloneWithModifiedSeed in class MonteCarloAssetModel

Parameters:

seed - The new seed.

Returns:

Returns a clone of this model except for a modified Monte-Carlo seed.

getModel

public BlackScholesModel getModel()

Returns the BlackScholesModel used for this Monte-Carlo simulation.

Overrides:

getModel in class MonteCarloAssetModel

Returns:

the model