net.finmath.modelling.productfactory.SingleAssetFourierProductFactory Maven / Gradle / Ivy
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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 09.02.2018
*/
package net.finmath.modelling.productfactory;
import java.time.LocalDate;
import net.finmath.fouriermethod.products.DigitalOption;
import net.finmath.fouriermethod.products.EuropeanOption;
import net.finmath.modelling.DescribedProduct;
import net.finmath.modelling.ProductDescriptor;
import net.finmath.modelling.ProductFactory;
import net.finmath.modelling.SingleAssetProductDescriptor;
import net.finmath.modelling.descriptor.SingleAssetDigitalOptionProductDescriptor;
import net.finmath.modelling.descriptor.SingleAssetEuropeanOptionProductDescriptor;
import net.finmath.time.FloatingpointDate;
/**
* Product factory of single asset derivatives for use with a Fourier method based model.
*
* @author Christian Fries
* @author Roland Bachl
* @version 1.0
*/
public class SingleAssetFourierProductFactory implements ProductFactory {
private final LocalDate referenceDate;
/**
* Create the product factory.
*
* @param referenceDate To be used when converting absolute dates to relative dates in double.
*/
public SingleAssetFourierProductFactory(final LocalDate referenceDate) {
this.referenceDate = referenceDate;
}
@Override
public DescribedProduct getProductFromDescriptor(final ProductDescriptor descriptor) {
if(descriptor instanceof SingleAssetEuropeanOptionProductDescriptor) {
final DescribedProduct product = new EuropeanOptionFourierMethod((SingleAssetEuropeanOptionProductDescriptor) descriptor, referenceDate);
return product;
}
else if(descriptor instanceof SingleAssetDigitalOptionProductDescriptor) {
final DescribedProduct product = new DigitalOptionFourierMethod((SingleAssetDigitalOptionProductDescriptor) descriptor, referenceDate);
return product;
}
else {
final String name = descriptor.name();
throw new IllegalArgumentException("Unsupported product type " + name);
}
}
/**
* Fourier method based implementation of a European option from a product descriptor.
*
* @author Christian Fries
* @author Roland Bachl
*/
public static class EuropeanOptionFourierMethod extends EuropeanOption implements DescribedProduct {
private final SingleAssetEuropeanOptionProductDescriptor descriptor;
/**
* Create the product from a descriptor.
*
* @param descriptor A descriptor of the product.
* @param referenceDate the reference date to be used when converting dates to doubles.
*/
public EuropeanOptionFourierMethod(final SingleAssetEuropeanOptionProductDescriptor descriptor, final LocalDate referenceDate) {
super(descriptor.getUnderlyingName(), FloatingpointDate.getFloatingPointDateFromDate(referenceDate, descriptor.getMaturity()), descriptor.getStrike());
this.descriptor = descriptor;
}
@Override
public SingleAssetEuropeanOptionProductDescriptor getDescriptor() {
return descriptor;
}
}
/**
* Fourier method based implementation of a digital option from a product descriptor.
*
* @author Christian Fries
* @author Roland Bachl
*/
public static class DigitalOptionFourierMethod extends DigitalOption implements DescribedProduct{
private final SingleAssetDigitalOptionProductDescriptor descriptor;
/**
* Create product from descriptor.
*
* @param descriptor The descriptor of the product.
* @param referenceDate The reference date of the data for the valuation, used to convert absolute date to relative dates in double representation.
*/
public DigitalOptionFourierMethod(final SingleAssetDigitalOptionProductDescriptor descriptor, final LocalDate referenceDate) {
super(FloatingpointDate.getFloatingPointDateFromDate(referenceDate, descriptor.getMaturity()), descriptor.getStrike());
this.descriptor = descriptor;
}
@Override
public SingleAssetDigitalOptionProductDescriptor getDescriptor() {
return descriptor;
}
}
}