Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Class Swap

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.Swap

All Implemented Interfaces:

Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class Swap
extends AbstractLIBORMonteCarloProduct

Create a swap from schedules, notional, indices and spreads (fixed coupons). The getValue method of this class simple returns legReceiver.getValue(evaluationTime, model).sub(legPayer.getValue(evaluationTime, model)) where legReceiver and legPayer are SwapLegs.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
Swap(double[] fixingDates, double[] paymentDates, double[] swaprates)	Deprecated. This constructor is deprecated.
Swap(Notional notional, Schedule scheduleReceiveLeg, AbstractIndex indexReceiveLeg, double spreadReceiveLeg, Schedule schedulePayLeg, AbstractIndex indexPayLeg, double spreadPayLeg)	Create a swap from schedules, notional, indices and spreads (fixed coupons).
Swap(TermStructureMonteCarloProduct legReceiver, TermStructureMonteCarloProduct legPayer)	Create a swap which values as legReceiver - legPayer.

Method Summary

Modifier and Type	Method	Description
RandomVariable	getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
String	toString()

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Detail

Swap

public Swap(TermStructureMonteCarloProduct legReceiver,
            TermStructureMonteCarloProduct legPayer)

Create a swap which values as legReceiver - legPayer.

Parameters:

legReceiver - The receiver leg.

legPayer - The payer leg.

Swap

public Swap(Notional notional,
            Schedule scheduleReceiveLeg,
            AbstractIndex indexReceiveLeg,
            double spreadReceiveLeg,
            Schedule schedulePayLeg,
            AbstractIndex indexPayLeg,
            double spreadPayLeg)

Create a swap from schedules, notional, indices and spreads (fixed coupons).

Parameters:

notional - The notional.

scheduleReceiveLeg - The period schedule for the receiver leg.

indexReceiveLeg - The index of the receiver leg, may be null if no index is received.

spreadReceiveLeg - The constant spread or fixed coupon rate of the receiver leg.

schedulePayLeg - The period schedule for the payer leg.

indexPayLeg - The index of the payer leg, may be null if no index is paid.

spreadPayLeg - The constant spread or fixed coupon rate of the payer leg.

Swap

@Deprecated
public Swap(double[] fixingDates,
            double[] paymentDates,
            double[] swaprates)

Deprecated.

This constructor is deprecated. If you like to create a payer swap from fixingDates, paymentDates and swaprates use SimpleSwap.

Create a payer swap from idealized data.

Parameters:

fixingDates - Vector of fixing dates

paymentDates - Vector of payment dates (must have same length as fixing dates)

swaprates - Vector of strikes (must have same length as fixing dates)

Method Detail

getValue

public RandomVariable getValue(double evaluationTime,
                               LIBORModelMonteCarloSimulationModel model)
                        throws CalculationException

Description copied from interface: TermStructureMonteCarloProduct

This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.

Specified by:

getValue in interface TermStructureMonteCarloProduct

Specified by:

getValue in class AbstractLIBORMonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product.

Returns:

The random variable representing the value of the product discounted to evaluation time

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.

toString

public String toString()

Overrides:

toString in class AbstractMonteCarloProduct