webcab.lib.finance.options.exotic
Class SpreadStrategyPayoff

java.lang.Object
  |
  +--webcab.lib.finance.options.exotic.SpreadStrategyPayoff

All Implemented Interfaces:

PayoffFunction, Serializable

public class SpreadStrategyPayoff

extends Object

implements PayoffFunction

This class gives an implementation of the PayoffFunction for a standard spread option strategy. The portfolio consists of one short and one long position with options of the same type.

See Also:

Serialized Form

Constructor Summary

SpreadStrategyPayoff(int bull_bear, double strike_price1, double strike_price2)
Creates new SpreadStrategyPayoff function.

Method Summary

double

getValueAt(double t, double[] x, double[] path_dependent_values, int n) Computes the value of the function in the point x.

Methods inherited from class java.lang.Object

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

Constructor Detail

SpreadStrategyPayoff

public SpreadStrategyPayoff(int bull_bear,
                            double strike_price1,
                            double strike_price2)
                     throws Exception

Creates new SpreadStrategyPayoff function.

Parameters:

bull_bear - Set this to ExoticOptionsConstants.BULL or ExoticOptionsConstants.BEAR. A bull spread benefits from a bull (rising) market. A bear spread benefits from a bear (falling) market.

strike_price1 - The strike (exercise) price of the put option.

strike_price2 - The strike (exercise) price of the call option.

Method Detail

getValueAt

public double getValueAt(double t,
                         double[] x,
                         double[] path_dependent_values,
                         int n)

Computes the value of the function in the point x.

Specified by:

getValueAt in interface PayoffFunction

Parameters:

x - the point at which the function is evaluated.

t - The time, used only for Bermudan options.

path_dependent_values - a vector containing the path dependent values. associated with the asset prices. Used only for strongly path dependent options.

n - the total number of assets.

Returns:

the value of the function in the point x