- java.lang.Object
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- net.finmath.marketdata.products.AbstractAnalyticProduct
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- net.finmath.marketdata.products.Swap
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- All Implemented Interfaces:
Serializable
,AnalyticProduct
,DescribedProduct<InterestRateSwapProductDescriptor>
,Product
public class Swap extends AbstractAnalyticProduct implements AnalyticProduct, DescribedProduct<InterestRateSwapProductDescriptor>, Serializable
Implements the valuation of a swap using curves (discount curve, forward curve). The swap valuation supports distinct discounting and forward curve. Support for day counting is limited to the capabilities ofTimeDiscretization
. The swap is just the composition of twoSwapLeg
s, namely the receiver leg and the payer leg. The value of the swap is the value of the receiver leg minus the value of the payer leg.- Version:
- 1.0
- Author:
- Christian Fries
- See Also:
- Serialized Form
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Constructor Summary
Constructors Constructor Description Swap(AnalyticProduct legReceiver, AnalyticProduct legPayer)
Create a swap which values aslegReceiver - legPayer
.Swap(Schedule scheduleReceiveLeg, double spreadReceive, String discountCurveReceiveName, Schedule schedulePayLeg, String forwardCurvePayName, String discountCurvePayName)
Creates a swap with notional exchange.Swap(Schedule scheduleReceiveLeg, String forwardCurveReceiveName, double spreadReceive, String discountCurveReceiveName, Schedule schedulePayLeg, String forwardCurvePayName, double spreadPay, String discountCurvePayName)
Creates a swap with notional exchange.Swap(Schedule scheduleReceiveLeg, String forwardCurveReceiveName, double spreadReceive, String discountCurveReceiveName, Schedule schedulePayLeg, String forwardCurvePayName, double spreadPay, String discountCurvePayName, boolean isNotionalExchanged)
Creates a swap with notional exchange.
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description InterestRateSwapProductDescriptor
getDescriptor()
Return a product descriptor representing this product.static double
getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurve forwardCurve)
static double
getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurve forwardCurve, AnalyticModel model)
static double
getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurve forwardCurve)
static double
getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurve forwardCurve, DiscountCurve discountCurve)
AnalyticProduct
getLegPayer()
Return the payer leg of the swap, i.e.AnalyticProduct
getLegReceiver()
Return the receiver leg of the swap, i.e.double
getValue(double evaluationTime, AnalyticModel model)
Return the valuation of the product using the given model.String
toString()
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Methods inherited from class net.finmath.marketdata.products.AbstractAnalyticProduct
getValue, getValue
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Constructor Detail
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Swap
public Swap(AnalyticProduct legReceiver, AnalyticProduct legPayer)
Create a swap which values aslegReceiver - legPayer
.- Parameters:
legReceiver
- The receiver leg.legPayer
- The payler leg.
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Swap
public Swap(Schedule scheduleReceiveLeg, String forwardCurveReceiveName, double spreadReceive, String discountCurveReceiveName, Schedule schedulePayLeg, String forwardCurvePayName, double spreadPay, String discountCurvePayName, boolean isNotionalExchanged)
Creates a swap with notional exchange. The swap has a unit notional of 1.- Parameters:
scheduleReceiveLeg
- ScheduleFromPeriods of the receiver leg.forwardCurveReceiveName
- Name of the forward curve, leave empty if this is a fix leg.spreadReceive
- Fixed spread on the forward or fix rate.discountCurveReceiveName
- Name of the discount curve for the receiver leg.schedulePayLeg
- ScheduleFromPeriods of the payer leg.forwardCurvePayName
- Name of the forward curve, leave empty if this is a fix leg.spreadPay
- Fixed spread on the forward or fix rate.discountCurvePayName
- Name of the discount curve for the payer leg.isNotionalExchanged
- If true, both leg will pay notional at the beginning of each swap period and receive notional at the end of the swap period. Note that the cash flow date for the notional is periodStart and periodEnd (not fixingDate and paymentDate).
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Swap
public Swap(Schedule scheduleReceiveLeg, String forwardCurveReceiveName, double spreadReceive, String discountCurveReceiveName, Schedule schedulePayLeg, String forwardCurvePayName, double spreadPay, String discountCurvePayName)
Creates a swap with notional exchange. The swap has a unit notional of 1.- Parameters:
scheduleReceiveLeg
- ScheduleFromPeriods of the receiver leg.forwardCurveReceiveName
- Name of the forward curve, leave empty if this is a fix leg.spreadReceive
- Fixed spread on the forward or fix rate.discountCurveReceiveName
- Name of the discount curve for the receiver leg.schedulePayLeg
- ScheduleFromPeriods of the payer leg.forwardCurvePayName
- Name of the forward curve, leave empty if this is a fix leg.spreadPay
- Fixed spread on the forward or fix rate.discountCurvePayName
- Name of the discount curve for the payer leg.
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Swap
public Swap(Schedule scheduleReceiveLeg, double spreadReceive, String discountCurveReceiveName, Schedule schedulePayLeg, String forwardCurvePayName, String discountCurvePayName)
Creates a swap with notional exchange. The swap has a unit notional of 1.- Parameters:
scheduleReceiveLeg
- ScheduleFromPeriods of the receiver leg.spreadReceive
- Fixed spread on the forward or fix rate.discountCurveReceiveName
- Name of the discount curve for the receiver leg.schedulePayLeg
- ScheduleFromPeriods of the payer leg.forwardCurvePayName
- Name of the forward curve, leave empty if this is a fix leg.discountCurvePayName
- Name of the discount curve for the payer leg.
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Method Detail
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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 ofAnalyticModel
.- Specified by:
getValue
in interfaceAnalyticProduct
- 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.
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getForwardSwapRate
public static double getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurve forwardCurve)
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getForwardSwapRate
public static double getForwardSwapRate(TimeDiscretization fixTenor, TimeDiscretization floatTenor, ForwardCurve forwardCurve, DiscountCurve discountCurve)
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getForwardSwapRate
public static double getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurve forwardCurve)
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getForwardSwapRate
public static double getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurve forwardCurve, AnalyticModel model)
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getLegReceiver
public AnalyticProduct getLegReceiver()
Return the receiver leg of the swap, i.e. the leg who's value is added to the swap value.- Returns:
- The receiver leg of the swap.
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getLegPayer
public AnalyticProduct getLegPayer()
Return the payer leg of the swap, i.e. the leg who's value is subtracted from the swap value.- Returns:
- The payer leg of the swap.
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getDescriptor
public InterestRateSwapProductDescriptor getDescriptor()
Description copied from interface:DescribedProduct
Return a product descriptor representing this product.- Specified by:
getDescriptor
in interfaceDescribedProduct<InterestRateSwapProductDescriptor>
- Returns:
- The product descriptor of this product.
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