Options
Class CallAsPathDependent

java.lang.Object
  Options.Option
      Options.CallAsPathDependent

public class CallAsPathDependent

extends Option

Plain vanilla European call declared as a path dependent option to test the pricing routines for path dependent options (full asset paths are computed to evaluate the option price).

Field Summary

Fields inherited from class Options.Option

ANALYTIC_DELTA, ANALYTIC_MINIMUM_VARIANCE_DELTA, ANALYTIC_QUOTIENT_DELTA, MARKET_PROBABILITY, MINIMUM_VARIANCE_DELTA, MONTE_CARLO_DELTA, QUOTIENT_DELTA, RISK_NEUTRAL_PROBABILITY

Constructor Summary

CallAsPathDependent(double K, Asset asset)

Method Summary

double	currentDiscountedPayoff() Payoff computed from discounted price path t->S^B(t) of the underlying asset.
double	discountedAnalyticPrice(int t) Analytic price as function of t and the discounted price S[t]=S^B(t) of the underlying at time t.
double	get_K() The strike price.

Methods inherited from class Options.Option

analyticDelta, analyticGamma, analyticMinimumVarianceDelta, analyticQuotientDelta, analyticSGamma, analyticTheta, analyticThetaDelta, analyticVega, conditionalControlVariateCorrelation, controlledDiscountedMonteCarloPrice, controlledDiscountedMonteCarloPrice, controlledDiscountedMonteCarloPrice, controlledDiscountedMonteCarloPrice, controlledDiscountedPayoff, controlVariateCorrelation, currentDiscountedHedgeGain, discountedHedgeGain, discountedMonteCarloPrice, discountedMonteCarloPrice, discountedMonteCarloPrice, discountedMonteCarloPrice, discountedPayoff, get_C, get_dt, get_T, get_underlying, getName, hasAnalyticPrice, minimumVarianceDelta, minimumVarianceDelta, monteCarloDelta, newDiscountedPricePath, quotientDelta, quotientDelta, underlyingIsCVA, underlyingIsDividendFreeCVA

Methods inherited from class java.lang.Object

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

Constructor Detail

CallAsPathDependent

public CallAsPathDependent(double K,
                           Asset asset)

Parameters:

K - strike price.

asset - underlying asset.

Method Detail

get_K

public double get_K()

The strike price.

currentDiscountedPayoff

public double currentDiscountedPayoff()

Payoff computed from discounted price path t->S^B(t) of the underlying asset.

Specified by:

currentDiscountedPayoff in class Option

discountedAnalyticPrice

public double discountedAnalyticPrice(int t)

Analytic price as function of t and the discounted price S[t]=S^B(t) of the underlying at time t.

Overrides:

discountedAnalyticPrice in class Option

Parameters:

t - current time.