Module net.finmath.lib

Package net.finmath.modelling.productfactory

Class InterestRateMonteCarloProductFactory

java.lang.Object

net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory

All Implemented Interfaces:

ProductFactory<InterestRateProductDescriptor>

public class InterestRateMonteCarloProductFactory
extends Object
implements ProductFactory<InterestRateProductDescriptor>

Product factory of interest rate derivatives for use with a Monte-Carlo method based model.

Author:

Christian Fries, Roland Bachl

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	InterestRateMonteCarloProductFactory.SwapLegMonteCarlo	Monte-Carlo method based implementation of a interest rate swap leg from a product descriptor.
static class	InterestRateMonteCarloProductFactory.SwapMonteCarlo	Monte-Carlo method based implementation of a interest rate swap from a product descriptor.
static class	InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo	Monte-Carlo method based implementation of a physically settled interest rate swaption from a product descriptor.

Constructor Summary

Constructors

Constructor	Description
InterestRateMonteCarloProductFactory(LocalDate referenceDate)	Initialize the factory with the given referenceDate.

Method Summary

Modifier and Type	Method	Description
DescribedProduct<? extends InterestRateProductDescriptor>	getProductFromDescriptor(ProductDescriptor descriptor)	Constructs the product from a given product descriptor.

Methods inherited from class java.lang.Object

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

Constructor Details

InterestRateMonteCarloProductFactory

public InterestRateMonteCarloProductFactory(LocalDate referenceDate)

Initialize the factory with the given referenceDate.

Parameters:

referenceDate - To be used when converting absolute dates to relative dates in double.

Method Details

getProductFromDescriptor

public DescribedProduct<? extends InterestRateProductDescriptor> getProductFromDescriptor(ProductDescriptor descriptor)

Description copied from interface: ProductFactory

Constructs the product from a given product descriptor.

Specified by:

getProductFromDescriptor in interface ProductFactory<InterestRateProductDescriptor>

Parameters:

descriptor - A product descriptor.

Returns:

An instance of the product describable by this descriptor.