Module net.finmath.lib

Package net.finmath.modelling.descriptor

Class InterestRateSwapLegProductDescriptor

java.lang.Object

net.finmath.modelling.descriptor.InterestRateSwapLegProductDescriptor

All Implemented Interfaces:

InterestRateProductDescriptor, ProductDescriptor

public class InterestRateSwapLegProductDescriptor
extends Object
implements InterestRateProductDescriptor

Product descriptor for an interest rate swap leg.

Version:

1.0

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
InterestRateSwapLegProductDescriptor(String forwardCurveName, String discountCurveName, ScheduleDescriptor legSchedule, double[] notionals, double[] spreads, boolean isNotionalExchanged)	Create the descriptor with notional and spread variable between periods.
InterestRateSwapLegProductDescriptor(String forwardCurveName, String discountCurveName, ScheduleDescriptor legSchedule, double notional, double spread, boolean isNotionalExchanged)	Create the descriptor with period uniform notional and spread.

Method Summary

Modifier and Type	Method	Description
String	getDiscountCurveName()	Return the name of the discount curve in this descriptor.
String	getForwardCurveName()	Return the name of the forward curve in this descriptor.
ScheduleDescriptor	getLegScheduleDescriptor()	Return the descriptor of the schedule of this product descriptor.
double[]	getNotionals()	Return the notionals per period of this descriptor.
double[]	getSpreads()	Return the spreads per period of this descriptor.
boolean	isNotionalExchanged()	Indicates whether the leg exchanges notional.
String	name()	Return the name of the model represented by this descriptor.
Integer	version()	Return the version of the model description.

Methods inherited from class java.lang.Object

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

Constructor Detail

InterestRateSwapLegProductDescriptor

public InterestRateSwapLegProductDescriptor(String forwardCurveName,
                                            String discountCurveName,
                                            ScheduleDescriptor legSchedule,
                                            double notional,
                                            double spread,
                                            boolean isNotionalExchanged)

Create the descriptor with period uniform notional and spread.

Parameters:

forwardCurveName - The name of the forward curve this leg is quoted on. (Or null/empty)

discountCurveName - The name of the curve this leg is to be discounted with.

legSchedule - ScheduleFromPeriods of the leg.

notional - The notional.

spread - Fixed spread on the forward or fix rate.

isNotionalExchanged - If true, the leg will pay notional at the beginning of the swap and receive notional at the end of the swap.

InterestRateSwapLegProductDescriptor

public InterestRateSwapLegProductDescriptor(String forwardCurveName,
                                            String discountCurveName,
                                            ScheduleDescriptor legSchedule,
                                            double[] notionals,
                                            double[] spreads,
                                            boolean isNotionalExchanged)

Create the descriptor with notional and spread variable between periods.

Parameters:

forwardCurveName - The name of the forward curve this leg is quoted on. (Or null/empty)

discountCurveName - The name of the curve this leg is to be discounted with.

legSchedule - ScheduleFromPeriods of the leg.

notionals - Array of notionals for each period.

spreads - Array of fixed spreads on the forward or fix rates for each period.

isNotionalExchanged - If true, the leg will pay notional at the beginning of the swap and receive notional at the end of the swap.

Method Detail

getForwardCurveName

public String getForwardCurveName()

Return the name of the forward curve in this descriptor.

Returns:

Name of the forward curve.

getDiscountCurveName

public String getDiscountCurveName()

Return the name of the discount curve in this descriptor.

Returns:

Name of the discount curve.

getLegScheduleDescriptor

public ScheduleDescriptor getLegScheduleDescriptor()

Return the descriptor of the schedule of this product descriptor.

Returns:

The schedule descriptor.

getNotionals

public double[] getNotionals()

Return the notionals per period of this descriptor.

Returns:

Array of notionals.

getSpreads

public double[] getSpreads()

Return the spreads per period of this descriptor.

Returns:

Array of spreads.

isNotionalExchanged

public boolean isNotionalExchanged()

Indicates whether the leg exchanges notional.

Returns:

true, if the leg pays notional at the beginning of the swap and reveives notional at the end.

version

public Integer version()

Description copied from interface: ProductDescriptor

Return the version of the model description.

Specified by:

version in interface ProductDescriptor

Returns:

Version number.

name

public String name()

Description copied from interface: ProductDescriptor

Return the name of the model represented by this descriptor.

Specified by:

name in interface ProductDescriptor

Returns:

Name of the model.