Java tutorial
/** * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.model.stochastic; import org.apache.commons.lang.Validate; import com.opengamma.analytics.financial.model.option.definition.OptionDefinition; import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle; import com.opengamma.analytics.math.function.Function1D; import com.opengamma.analytics.math.function.Function2D; /** * * @param <T> * @param <U> */ public class BlackScholesArithmeticBrownianMotionProcess<T extends OptionDefinition, U extends StandardOptionDataBundle> extends StochasticProcess<T, U> { @Override public Function1D<Double, Double> getPathGeneratingFunction(final T t, final U u, final int steps) { Validate.notNull(t); Validate.notNull(u); if (steps < 1) { throw new IllegalArgumentException("Number of steps must be greater than zero"); } final double k = t.getStrike(); final double m = t.getTimeToExpiry(u.getDate()); final double sigma = u.getVolatility(m, k); final double b = u.getCostOfCarry(); final double dt = m / steps; final double sigmaSq = sigma * sigma; final double nu = dt * (b - 0.5 * sigmaSq); final double sigmaDt = sigma * Math.sqrt(dt); return new Function1D<Double, Double>() { @Override public Double evaluate(final Double e) { return Math.exp(nu + sigmaDt * e); } }; } @Override public Double getInitialValue(final T t, final U u) { return u.getSpot(); } @Override public Double getFinalValue(final Double x) { return x; } @Override public Function2D<Double, Double> getPathAccumulationFunction() { return new Function2D<Double, Double>() { @Override public Double evaluate(final Double x1, final Double x2) { return x1 * x2; } }; } }