Module net.finmath.lib

Package net.finmath.marketdata.products

Class ForwardRateAgreement

java.lang.Object

net.finmath.marketdata.products.AbstractAnalyticProduct

net.finmath.marketdata.products.ForwardRateAgreement

All Implemented Interfaces:

AnalyticProduct, Product

public class ForwardRateAgreement
extends AbstractAnalyticProduct
implements AnalyticProduct

Implements the valuation of a FRA in multi-curve setting. According to Ametrano/Bianchetti (2013) p.22, the size of the convexity adjustment between market FRA and textbook FRA is neglegible. This class can thus be used for the valuation of the market FRA. market conventions (see Ametrano/Bianchetti (2013), p.22): spot offset: 2BD day count convention: act/360 fixing date offset: 2BD

Version:

1.0

Author:

Rebecca Declara, Christian Fries

Constructor Summary

Constructors

Constructor	Description
ForwardRateAgreement(Schedule schedule, double spread, String forwardCurveName, String discountCurveName)	Creates a payer FRA.
ForwardRateAgreement(Schedule schedule, double spread, String forwardCurveName, String discountCurveName, boolean isPayer)	Creates a FRA.

Method Summary

Modifier and Type	Method	Description
double	getRate(AnalyticModel model)	Return the par FRA rate for a given curve.
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

ForwardRateAgreement

public ForwardRateAgreement(Schedule schedule,
                            double spread,
                            String forwardCurveName,
                            String discountCurveName,
                            boolean isPayer)

Creates a FRA. The FRA has a unit notional of 1.

Parameters:

schedule - The schedule (provides fixing and periods length).

spread - The market FRA rate

forwardCurveName - Name of the forward curve

discountCurveName - Name of the discount curve (possibly multi curve setting).

isPayer - If true, the fra pays fix, i.e., the payoff is forward - spread. Otherwise it is spread - forward.

ForwardRateAgreement

public ForwardRateAgreement(Schedule schedule,
                            double spread,
                            String forwardCurveName,
                            String discountCurveName)

Creates a payer FRA. The FRA has a unit notional of 1.

Parameters:

schedule - The schedule (provides fixing and periods length).

spread - The market FRA rate

forwardCurveName - Name of the forward curve

discountCurveName - Name of the discount curve (possibly multi curve setting).

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.

getRate

public double getRate(AnalyticModel model)

Return the par FRA rate for a given curve.

Parameters:

model - A given model.

Returns:

The par FRA rate.