- java.lang.Object
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- net.finmath.marketdata2.products.AbstractAnalyticProduct
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- net.finmath.marketdata2.products.ForwardRateAgreement
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- 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
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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.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description RandomVariable
getRate(AnalyticModel model)
Return the par FRA rate for a given curve.RandomVariable
getValue(double evaluationTime, AnalyticModel model)
Return the valuation of the product using the given model.-
Methods inherited from class net.finmath.marketdata2.products.AbstractAnalyticProduct
getValue, getValue
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Constructor Detail
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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 rateforwardCurveName
- Name of the forward curvediscountCurveName
- 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.
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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 rateforwardCurveName
- Name of the forward curvediscountCurveName
- Name of the discount curve (possibly multi curve setting).
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Method Detail
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getValue
public RandomVariable 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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getRate
public RandomVariable getRate(AnalyticModel model)
Return the par FRA rate for a given curve.- Parameters:
model
- A given model.- Returns:
- The par FRA rate.
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