org.drip.pricer.option

Class FokkerPlanckGenerator

java.lang.Object

org.drip.pricer.option.FokkerPlanckGenerator

All Implemented Interfaces:

GenericPricer

Direct Known Subclasses:

BlackNormalAlgorithm, BlackScholesAlgorithm, HestonStochasticVolatilityAlgorithm

public abstract class FokkerPlanckGenerator
extends java.lang.Object
implements GenericPricer

FokkerPlanckGenerator holds the base functionality that the performs the PDF evolution oriented Option Pricing.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FokkerPlanckGenerator()

Method Summary

Modifier and Type	Method and Description
abstract Greeks	greeks(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblInitialVolatility) Carry out a Sensitivity Run and generate the Pricing related measure set
Greeks	greeks(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblIntegratedSurfaceVariance) Carry out a Sensitivity Run and generate the Pricing related measure set
Greeks	greeks(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, R1ToR1 funcVolatilityR1ToR1) Carry out a Sensitivity Run and generate the Pricing related measure set
double	impliedBlackScholesVolatility(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblPrice) Imply the Effective Black-Scholes Volatility From the Option Price
double	impliedVolatilityFromPrice(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblPrice) Imply the Effective Volatility From the Option Price
double	impliedVolatilityFromPrice(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblPrice) Imply the Effective Volatility From the Option Price
abstract double	payoff(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblInitialVolatility, boolean bAsPrice) Compute the Expected Payoff of the Option from the Inputs
double	payoff(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblInitialVolatility, boolean bAsPrice) Compute the Expected Payoff of the Option from the Inputs
double	payoff(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, R1ToR1 funcVolatilityR1ToR1, boolean bAsPrice) Compute the Expected Payoff of the Option from the Inputs

Methods inherited from class java.lang.Object

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

Constructor Detail

FokkerPlanckGenerator

public FokkerPlanckGenerator()

Method Detail

payoff

public abstract double payoff(double dblStrike,
                              double dblTimeToExpiry,
                              double dblRiskFreeRate,
                              double dblUnderlier,
                              boolean bIsPut,
                              boolean bIsForward,
                              double dblInitialVolatility,
                              boolean bAsPrice)
                       throws java.lang.Exception

Compute the Expected Payoff of the Option from the Inputs

Parameters:

dblStrike - Option Strike

dblTimeToExpiry - Option Time To Expiry

dblRiskFreeRate - Option Risk Free Rate

dblUnderlier - Option Underlier Value

bIsPut - TRUE - The Option is a Put

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dblInitialVolatility - Option Initial Volatility Value

bAsPrice - TRUE - Return the Discounted Payoff

Returns:

The Expected Option Payoff

Throws:

java.lang.Exception - Thrown if the Expected Payoff cannot be calculated

greeks

public abstract Greeks greeks(double dblStrike,
                              double dblTimeToExpiry,
                              double dblRiskFreeRate,
                              double dblUnderlier,
                              boolean bIsPut,
                              boolean bIsForward,
                              double dblInitialVolatility)

Carry out a Sensitivity Run and generate the Pricing related measure set

Parameters:

dblStrike - Option Strike

dblTimeToExpiry - Option Time To Expiry

dblRiskFreeRate - Option Risk Free Rate

dblUnderlier - Option Underlier Value

bIsPut - TRUE - The Option is a Put

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dblInitialVolatility - Option Initial Volatility Value

Returns:

The Greeks Sensitivities Output

payoff

public double payoff(int iSpotDate,
                     int iExpiryDate,
                     double dblStrike,
                     MergedDiscountForwardCurve dcFunding,
                     double dblUnderlier,
                     boolean bIsPut,
                     boolean bIsForward,
                     double dblInitialVolatility,
                     boolean bAsPrice)
              throws java.lang.Exception

Compute the Expected Payoff of the Option from the Inputs

Parameters:

iSpotDate - Spot Date

iExpiryDate - Expiry Date

dblStrike - Option Strike

dcFunding - The Funding Curve

dblUnderlier - Option Underlier Value

bIsPut - TRUE - The Option is a Put

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dblInitialVolatility - Option Initial Volatility Value

bAsPrice - TRUE - Return the Discounted Payoff

Returns:

The Expected Option Payoff

Throws:

java.lang.Exception - Thrown if the Expected Payoff cannot be calculated

payoff

public double payoff(int iSpotDate,
                     int iExpiryDate,
                     double dblStrike,
                     MergedDiscountForwardCurve dcFunding,
                     double dblUnderlier,
                     boolean bIsPut,
                     boolean bIsForward,
                     R1ToR1 funcVolatilityR1ToR1,
                     boolean bAsPrice)
              throws java.lang.Exception

Compute the Expected Payoff of the Option from the Inputs

Parameters:

iSpotDate - Spot Date

iExpiryDate - Expiry Date

dblStrike - Option Strike

dcFunding - The Funding Curve

dblUnderlier - Option Underlier Value

bIsPut - TRUE - The Option is a Put

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

funcVolatilityR1ToR1 - The R^1 To R^1 Volatility Term Structure

bAsPrice - TRUE - Return the Discounted Payoff

Returns:

The Expected Option Payoff

Throws:

java.lang.Exception - Thrown if the Expected Payoff cannot be calculated

greeks

public Greeks greeks(int iSpotDate,
                     int iExpiryDate,
                     double dblStrike,
                     MergedDiscountForwardCurve dcFunding,
                     double dblUnderlier,
                     boolean bIsPut,
                     boolean bIsForward,
                     double dblIntegratedSurfaceVariance)

Carry out a Sensitivity Run and generate the Pricing related measure set

Parameters:

iSpotDate - Spot Date

iExpiryDate - Expiry Date

dblStrike - Option Strike

dcFunding - The Funding Curve

dblUnderlier - Option Underlier Value

bIsPut - TRUE - The Option is a Put

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dblIntegratedSurfaceVariance - The Integrated Surface Variance

Returns:

The Greeks Output generated from the Sensitivities Run

greeks

public Greeks greeks(int iSpotDate,
                     int iExpiryDate,
                     double dblStrike,
                     MergedDiscountForwardCurve dcFunding,
                     double dblUnderlier,
                     boolean bIsPut,
                     boolean bIsForward,
                     R1ToR1 funcVolatilityR1ToR1)

Carry out a Sensitivity Run and generate the Pricing related measure set

Parameters:

iSpotDate - Spot Date

iExpiryDate - Expiry Date

dblStrike - Option Strike

dcFunding - The Funding Curve

dblUnderlier - Option Underlier Value

bIsPut - TRUE - The Option is a Put

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

funcVolatilityR1ToR1 - The R^1 To R^1 Volatility Term Structure

Returns:

The Greeks Output generated from the Sensitivities Run

impliedVolatilityFromPrice

public double impliedVolatilityFromPrice(double dblStrike,
                                         double dblTimeToExpiry,
                                         double dblRiskFreeRate,
                                         double dblUnderlier,
                                         boolean bIsPut,
                                         boolean bIsForward,
                                         double dblPrice)
                                  throws java.lang.Exception

Imply the Effective Volatility From the Option Price

Parameters:

dblStrike - Strike

dblTimeToExpiry - Time To Expiry

dblRiskFreeRate - Risk Free Rate

dblUnderlier - The Underlier

bIsPut - TRUE - The Option is a Put

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dblPrice - The Price

Returns:

The Implied Effective Volatility

Throws:

java.lang.Exception - Thrown if the Effective Volatility cannot be implied

impliedVolatilityFromPrice

public double impliedVolatilityFromPrice(int iSpotDate,
                                         int iExpiryDate,
                                         double dblStrike,
                                         MergedDiscountForwardCurve dcFunding,
                                         double dblUnderlier,
                                         boolean bIsPut,
                                         boolean bIsForward,
                                         double dblPrice)
                                  throws java.lang.Exception

Imply the Effective Volatility From the Option Price

Parameters:

iSpotDate - Spot Date

iExpiryDate - Expiry Date

dblStrike - Option Strike

dcFunding - The Funding Curve

dblUnderlier - Option Underlier Value

bIsPut - TRUE - The Option is a Put

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dblPrice - The Price

Returns:

The Implied Effective Volatility

Throws:

java.lang.Exception - Thrown if the Effective Volatility cannot be implied

impliedBlackScholesVolatility

public double impliedBlackScholesVolatility(double dblStrike,
                                            double dblTimeToExpiry,
                                            double dblRiskFreeRate,
                                            double dblUnderlier,
                                            boolean bIsPut,
                                            boolean bIsForward,
                                            double dblPrice)
                                     throws java.lang.Exception

Imply the Effective Black-Scholes Volatility From the Option Price

Parameters:

dblStrike - Strike

dblTimeToExpiry - Time To Expiry

dblRiskFreeRate - Risk Free Rate

dblUnderlier - The Underlier

bIsPut - TRUE - The Option is a Put

bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot

dblPrice - The Price

Returns:

The Implied Black Scholes Effective Volatility

Throws:

java.lang.Exception - Thrown if the Black Scholes Effective Volatility cannot be implied