- java.lang.Object
-
- net.finmath.montecarlo.AbstractMonteCarloProduct
-
- net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
- net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
-
- net.finmath.montecarlo.interestrate.models.FundingCapacity
-
- All Implemented Interfaces:
Serializable
,Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class FundingCapacity extends AbstractProductComponent
Models the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability. The piecewise constant instantaneous survival probability has to be provided by a SortedMap<Double, Double> instantaneouseSurvivalProbability. This map defines the mapping \( x_{i} \mapsto q_{i} \). Defining \[ q(x) = q_{i} \text{\ for\ } x \in (x_{i-1}-x_{i}] \] thegetDefaultFactors
method of this class calculates for a given argument \( (t,x) \):- the effective survival probability
- \[ \frac{1}{x} \int_{a}^{a+x} q(\xi) \mathrm{d}\xi \], where a denotes the current level of fund provided by this capacity, and
- the effective default compensation factor R, such that
- \[ \frac{1}{x} \int_{a}^{a+R x} q(\xi) \mathrm{d}\xi \ = \ 1 \],
- Author:
- Christian Fries
- See Also:
- Serialized Form
-
-
Nested Class Summary
Nested Classes Modifier and Type Class Description class
FundingCapacity.DefaultFactors
-
Constructor Summary
Constructors Constructor Description FundingCapacity(String currency, RandomVariable intialCapacity, SortedMap<Double,Double> instantaneouseSurvivalProbability)
-
Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description RandomVariable
getCurrentFundingLevel()
RandomVariable
getDefaultCompensationForRequiredFunding(double time, RandomVariable fundingRequirement)
FundingCapacity.DefaultFactors
getDefaultFactors(double time, RandomVariable fundingRequirement)
RandomVariable
getSurvivalProbabilityRequiredFunding(double time, RandomVariable fundingRequirement)
RandomVariable
getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.Set<String>
queryUnderlyings()
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.-
Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
getExecutor, getValues
-
Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getFactorDrift, getValue, getValueForModifiedData
-
Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString
-
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
-
Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
-
-
-
-
Constructor Detail
-
FundingCapacity
public FundingCapacity(String currency, RandomVariable intialCapacity, SortedMap<Double,Double> instantaneouseSurvivalProbability)
-
-
Method Detail
-
getDefaultFactors
public FundingCapacity.DefaultFactors getDefaultFactors(double time, RandomVariable fundingRequirement)
-
getDefaultCompensationForRequiredFunding
public RandomVariable getDefaultCompensationForRequiredFunding(double time, RandomVariable fundingRequirement)
-
getSurvivalProbabilityRequiredFunding
public RandomVariable getSurvivalProbabilityRequiredFunding(double time, RandomVariable fundingRequirement)
-
getCurrentFundingLevel
public RandomVariable getCurrentFundingLevel()
-
queryUnderlyings
public Set<String> queryUnderlyings()
Description copied from class:AbstractProductComponent
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.- Specified by:
queryUnderlyings
in classAbstractProductComponent
- Returns:
- A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
-
getValue
public RandomVariable getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) throws CalculationException
Description copied from interface:TermStructureMonteCarloProduct
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.- Specified by:
getValue
in interfaceTermStructureMonteCarloProduct
- Specified by:
getValue
in classAbstractLIBORMonteCarloProduct
- Parameters:
evaluationTime
- The time on which this products value should be observed.model
- The model used to price the product.- Returns:
- The random variable representing the value of the product discounted to evaluation time
- Throws:
CalculationException
- Thrown if the valuation fails, specific cause may be available via thecause()
method.
-
-