Module net.finmath.lib
Package net.finmath.modelling.descriptor
Class InterestRateSwaptionProductDescriptor
java.lang.Object
net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor
- All Implemented Interfaces:
InterestRateProductDescriptor
,ProductDescriptor
public class InterestRateSwaptionProductDescriptor extends Object implements InterestRateProductDescriptor
Product descriptor for an interest rate swaption.
- Author:
- Christian Fries, Roland Bachl
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Constructor Summary
Constructors Constructor Description InterestRateSwaptionProductDescriptor(InterestRateSwapProductDescriptor swap, LocalDate excerciseDate, double strikeRate)
Construct the descriptor of a swaption from the descriptor of a swap plus option parameters. -
Method Summary
Modifier and Type Method Description LocalDate
getExcerciseDate()
Return the exercise date of the option.double
getStrikeRate()
Return the strike rate of the option.InterestRateSwapProductDescriptor
getUnderlyingSwap()
Return the descriptor of the underlying swap.String
name()
Return the name of the model represented by this descriptor.Integer
version()
Return the version of the model description.
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Constructor Details
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InterestRateSwaptionProductDescriptor
public InterestRateSwaptionProductDescriptor(InterestRateSwapProductDescriptor swap, LocalDate excerciseDate, double strikeRate)Construct the descriptor of a swaption from the descriptor of a swap plus option parameters.- Parameters:
swap
- Descriptor of the underlying swap.excerciseDate
- Exercise date of the option as abolute LocalDate.strikeRate
- Strike rate of the option.
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Method Details
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version
Description copied from interface:ProductDescriptor
Return the version of the model description.- Specified by:
version
in interfaceProductDescriptor
- Returns:
- Version number.
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name
Description copied from interface:ProductDescriptor
Return the name of the model represented by this descriptor.- Specified by:
name
in interfaceProductDescriptor
- Returns:
- Name of the model.
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getUnderlyingSwap
Return the descriptor of the underlying swap.- Returns:
- THe swap descriptor.
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getExcerciseDate
Return the exercise date of the option.- Returns:
- The exercise date as absolute LocalDate.
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getStrikeRate
public double getStrikeRate()Return the strike rate of the option.- Returns:
- The strike rate.
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