MarketForwardRateAgreement (finmath lib 5.0.1 API)

java.lang.Object
- net.finmath.marketdata.products.AbstractAnalyticProduct
- - net.finmath.marketdata.products.MarketForwardRateAgreement

All Implemented Interfaces:

AnalyticProduct, Product
```
public class MarketForwardRateAgreement
extends AbstractAnalyticProduct
implements AnalyticProduct
```
Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve). The value of the forward rate agreement at its maturity time t is
(F(t)-K) / (1 + F(t) * dcf(periodStart,periodEnd)) where F(t) is the forward evaluated at maturity and dcf(periodStart,periodEnd) is a given paymentOffset. The value of the forward rate agreement returned for an earlier time is the above payoff multiplied with the corresponding discount factor curve. Note that this valuation ignores a possible convexity adjustment between the forward and the discount factors since the above formula is not a linear function of F. Put differently, if this product is used to calibrate a forward curve to a forward rate agreement, then the calibrated forward curve will include the convexity adjustment.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors
Constructor	Description
`MarketForwardRateAgreement(double maturity, double paymentOffset, String forwardCurveName, double spread, String discountCurveName)`	Creates a market forward rate agreement.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`double`	`getValue(double evaluationTime, AnalyticModel model)`	Return the valuation of the product using the given model.

Methods inherited from class net.finmath.marketdata.products.AbstractAnalyticProduct
getValue, getValue

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface net.finmath.modelling.Product
getValue, getValues

- Constructor Detail
  - MarketForwardRateAgreement
```
public MarketForwardRateAgreement(double maturity,
                                  double paymentOffset,
                                  String forwardCurveName,
                                  double spread,
                                  String discountCurveName)
```
    Creates a market forward rate agreement.
    
    Parameters:
    
    maturity - Maturity, i.e., fixing on the forward curve.
    
    paymentOffset - Payment offset.
    
    forwardCurveName - Name of the forward curve, leave empty if this is a fix payment.
    
    spread - Additional fixed payment (if any).
    
    discountCurveName - Name of the discount curve for the forward.
- Method Detail
  - getValue
```
public double getValue(double evaluationTime,
                       AnalyticModel model)
```
    Description copied from interface: AnalyticProduct
    
    Return the valuation of the product using the given model. The model has to implement the modes of AnalyticModel.
    
    Specified by:
    
    getValue in interface AnalyticProduct
    
    Parameters:
    
    evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.
    
    model - The model under which the product is valued.
    
    Returns:
    
    The value of the product using the given model.