Products

The MVP catalogue: vanilla European, arithmetic Asian and fixed-strike lookback, each on a GbmPath. All discounted to today at the flat rate.

Each factory returns a Product<EquityMarket> whose record is a handful of lines over ADouble — read one as the template for a payoff of your own. The xxxCall / xxxPut pairs are conveniences over the OptionType-parameterised forms (european(OptionType) …), which is the shape to reach for when adding an instrument.

View source ↗Full module reference on javadoc.io ↗

Methods

static Product<EquityMarket> europeanCall()

static Product<EquityMarket> europeanPut()

static Product<EquityMarket> asianCall()

static Product<EquityMarket> asianPut()

static Product<EquityMarket> lookbackCall()

static Product<EquityMarket> lookbackPut()

static Product<EquityMarket> floatingLookbackCall()

static Product<EquityMarket> floatingLookbackPut()

static Product<EquityMarket> european(OptionType type)

max(sign * (S_T - K), 0) discounted. Only the terminal value matters.

static Product<EquityMarket> asian(OptionType type)

max(sign * (mean_t S_t - K), 0) discounted; arithmetic average over the fixings.

static Product<EquityMarket> lookback(OptionType type)

Fixed-strike lookback: max(max_t S_t - K, 0) for a call, max(K - min_t S_t, 0) for a put. Discounted. The running extremum includes the initial spot and every simulated fixing.

static Product<EquityMarket> floatingLookback(OptionType type)

Floating-strike lookback: a call pays S_T - min_t S_t, a put pays max_t S_t - S_T. The running extremum includes the initial spot and every simulated fixing. Discounted.