Options
Class OptionToExchangeAssets

java.lang.Object
  Options.BasketOption
      Options.PathIndptBasketOption
          Options.OptionToExchangeAssets

public class OptionToExchangeAssets

extends PathIndptBasketOption

Warning: dividend reduction for analytic price and deltas not yet implemented.

Field Summary

Fields inherited from class Options.BasketOption

name

Constructor Summary

OptionToExchangeAssets(Basket underlying, double K)

Method Summary

ColtVector	analyticDeltas(int t) Deltas derived from Margrabe's formula if the basket is a deterministic volatility basket, error message and abort otherwise.
double	currentDiscountedPayoff() PAYOFF
double	discountedAnalyticPrice(int t) Margrabes price if the basket is a deterministic volatility basket, error message and abort otherwise.

Methods inherited from class Options.PathIndptBasketOption

discountedMonteCarloPrice, discountedMonteCarloPrice, discountedMonteCarloPrice, discountedMonteCarloPrice, discountedPayoff, monteCarloDeltas, newDiscountedPricePath

Methods inherited from class Options.BasketOption

get_C, get_dim, get_dt, get_hasAnalyticPrice, get_T, get_underlying, getName, minimumVarianceDeltas

Methods inherited from class java.lang.Object

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

Constructor Detail

OptionToExchangeAssets

public OptionToExchangeAssets(Basket underlying,
                              double K)

Parameters:

underlying - underlying asset vector, only S_1,S_2 are used.

K - exchange ratio.

Method Detail

currentDiscountedPayoff

public double currentDiscountedPayoff()

PAYOFF

Specified by:

currentDiscountedPayoff in class BasketOption

discountedAnalyticPrice

public double discountedAnalyticPrice(int t)

Margrabes price if the basket is a deterministic volatility basket, error message and abort otherwise.

Overrides:

discountedAnalyticPrice in class BasketOption

Parameters:

t - current time.

analyticDeltas

public ColtVector analyticDeltas(int t)

Deltas derived from Margrabe's formula if the basket is a deterministic volatility basket, error message and abort otherwise.

Overrides:

analyticDeltas in class BasketOption

Parameters:

t - current time.