Module net.finmath.lib
Package net.finmath.modelling.descriptor

Class InterestRateSwapLegProductDescriptor

java.lang.Object
net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor
All Implemented Interfaces:
InterestRateProductDescriptor, ProductDescriptor
public class InterestRateSwapLegProductDescriptor
extends Object
implements InterestRateProductDescriptor
Product descriptor for an interest rate swap leg.
Version:
1.0
Author:
Christian Fries, Roland Bachl

  • Constructor Details

    • InterestRateSwapLegProductDescriptor

      public InterestRateSwapLegProductDescriptor​(String forwardCurveName, String discountCurveName, ScheduleDescriptor legSchedule, double notional, double spread, boolean isNotionalExchanged)
      Create the descriptor with period uniform notional and spread.
      Parameters:
      forwardCurveName - The name of the forward curve this leg is quoted on. (Or null/empty)
      discountCurveName - The name of the curve this leg is to be discounted with.
      legSchedule - ScheduleFromPeriods of the leg.
      notional - The notional.
      spread - Fixed spread on the forward or fix rate.
      isNotionalExchanged - If true, the leg will pay notional at the beginning of the swap and receive notional at the end of the swap.

    • InterestRateSwapLegProductDescriptor

      public InterestRateSwapLegProductDescriptor​(String forwardCurveName, String discountCurveName, ScheduleDescriptor legSchedule, double[] notionals, double[] spreads, boolean isNotionalExchanged)
      Create the descriptor with notional and spread variable between periods.
      Parameters:
      forwardCurveName - The name of the forward curve this leg is quoted on. (Or null/empty)
      discountCurveName - The name of the curve this leg is to be discounted with.
      legSchedule - ScheduleFromPeriods of the leg.
      notionals - Array of notionals for each period.
      spreads - Array of fixed spreads on the forward or fix rates for each period.
      isNotionalExchanged - If true, the leg will pay notional at the beginning of the swap and receive notional at the end of the swap.

  • Method Details

    • getForwardCurveName

      public String getForwardCurveName()
      Return the name of the forward curve in this descriptor.
      Returns:
      Name of the forward curve.

    • getDiscountCurveName

      public String getDiscountCurveName()
      Return the name of the discount curve in this descriptor.
      Returns:
      Name of the discount curve.

    • getLegScheduleDescriptor

      public ScheduleDescriptor getLegScheduleDescriptor()
      Return the descriptor of the schedule of this product descriptor.
      Returns:
      The schedule descriptor.

    • getNotionals

      public double[] getNotionals()
      Return the notionals per period of this descriptor.
      Returns:
      Array of notionals.

    • getSpreads

      public double[] getSpreads()
      Return the spreads per period of this descriptor.
      Returns:
      Array of spreads.

    • isNotionalExchanged

      public boolean isNotionalExchanged()
      Indicates whether the leg exchanges notional.
      Returns:
      true, if the leg pays notional at the beginning of the swap and reveives notional at the end.

    • version

      public Integer version()
      Description copied from interface: ProductDescriptor
      Return the version of the model description.
      Specified by:
      version in interface ProductDescriptor
      Returns:
      Version number.

    • name

      public String name()
      Description copied from interface: ProductDescriptor
      Return the name of the model represented by this descriptor.
      Specified by:
      name in interface ProductDescriptor
      Returns:
      Name of the model.