EquityMarket

One equity underlying and the flat-rate world it lives in.

Every component is a differentiable input to a recorded valuation, so the gradient handed back by a Monte-Carlo run is an EquityMarket of the same shape: spot() carries delta, vol() vega, rate() rho, strike() the strike sensitivity and maturity() the sensitivity to time to expiry.

View source ↗Full module reference on javadoc.io ↗

Record components

spot: double
strike: double
vol: double
rate: double
maturity: double

Methods

EquityMarket validated()

Rejects a market that a payoff cannot be simulated against. Not enforced in the constructor: the engine also reuses this record's shape as the carrier for the gradient vector, whose components carry no such constraints.

static EquityMarket atmOneYear()

A textbook at-the-money one-year call market: S0=K=100, sigma=20%, r=3%.

EquityMarket withSpot(double spot)

EquityMarket withStrike(double strike)

EquityMarket withVol(double vol)

EquityMarket withRate(double rate)

EquityMarket withMaturity(double maturity)