Module net.finmath.lib
Package net.finmath.modelling.descriptor
Class InterestRateSwaptionProductDescriptor
- java.lang.Object
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- net.finmath.modelling.descriptor.InterestRateSwaptionProductDescriptor
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- All Implemented Interfaces:
InterestRateProductDescriptor
,ProductDescriptor
public class InterestRateSwaptionProductDescriptor extends Object implements InterestRateProductDescriptor
Product descriptor for an interest rate swaption.- Author:
- Christian Fries, Roland Bachl
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Constructor Summary
Constructors Constructor Description InterestRateSwaptionProductDescriptor(InterestRateSwapProductDescriptor swap, LocalDate excerciseDate, double strikeRate)
Construct the descriptor of a swaption from the descriptor of a swap plus option parameters.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description LocalDate
getExcerciseDate()
Return the exercise date of the option.double
getStrikeRate()
Return the strike rate of the option.InterestRateSwapProductDescriptor
getUnderlyingSwap()
Return the descriptor of the underlying swap.String
name()
Return the name of the model represented by this descriptor.Integer
version()
Return the version of the model description.
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Constructor Detail
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InterestRateSwaptionProductDescriptor
public InterestRateSwaptionProductDescriptor(InterestRateSwapProductDescriptor swap, LocalDate excerciseDate, double strikeRate)
Construct the descriptor of a swaption from the descriptor of a swap plus option parameters.- Parameters:
swap
- Descriptor of the underlying swap.excerciseDate
- Exercise date of the option as abolute LocalDate.strikeRate
- Strike rate of the option.
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Method Detail
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version
public Integer version()
Description copied from interface:ProductDescriptor
Return the version of the model description.- Specified by:
version
in interfaceProductDescriptor
- Returns:
- Version number.
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name
public String name()
Description copied from interface:ProductDescriptor
Return the name of the model represented by this descriptor.- Specified by:
name
in interfaceProductDescriptor
- Returns:
- Name of the model.
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getUnderlyingSwap
public InterestRateSwapProductDescriptor getUnderlyingSwap()
Return the descriptor of the underlying swap.- Returns:
- THe swap descriptor.
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getExcerciseDate
public LocalDate getExcerciseDate()
Return the exercise date of the option.- Returns:
- The exercise date as absolute LocalDate.
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getStrikeRate
public double getStrikeRate()
Return the strike rate of the option.- Returns:
- The strike rate.
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