Module net.finmath.lib
Class InterestRateMonteCarloProductFactory.SwapLegMonteCarlo
- java.lang.Object
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- net.finmath.montecarlo.AbstractMonteCarloProduct
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- net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
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- net.finmath.montecarlo.interestrate.products.SwapLeg
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- net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwapLegMonteCarlo
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- All Implemented Interfaces:
DescribedProduct<InterestRateSwapLegProductDescriptor>
,Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
- Enclosing class:
- InterestRateMonteCarloProductFactory
public static class InterestRateMonteCarloProductFactory.SwapLegMonteCarlo extends SwapLeg implements DescribedProduct<InterestRateSwapLegProductDescriptor>
Monte-Carlo method based implementation of a interest rate swap leg from a product descriptor.- Author:
- Christian Fries, Roland Bachl
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Constructor Summary
Constructors Constructor Description SwapLegMonteCarlo(InterestRateSwapLegProductDescriptor descriptor, LocalDate referenceDate)
Create product from descriptor.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description InterestRateSwapLegProductDescriptor
getDescriptor()
Return a product descriptor representing this product.-
Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getFactorDrift, getValue, getValueForModifiedData, getValues
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Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
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Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
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Constructor Detail
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SwapLegMonteCarlo
public SwapLegMonteCarlo(InterestRateSwapLegProductDescriptor descriptor, LocalDate referenceDate)
Create product from descriptor.- Parameters:
descriptor
- The descriptor of the product.referenceDate
- The reference date of the data for the valuation, used to convert absolute date to relative dates in double representation.
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Method Detail
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getDescriptor
public InterestRateSwapLegProductDescriptor getDescriptor()
Description copied from interface:DescribedProduct
Return a product descriptor representing this product.- Specified by:
getDescriptor
in interfaceDescribedProduct<InterestRateSwapLegProductDescriptor>
- Returns:
- The product descriptor of this product.
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