- java.lang.Object
-
- net.finmath.montecarlo.AbstractMonteCarloProduct
-
- net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
- net.finmath.montecarlo.interestrate.products.CancelableSwap
-
- All Implemented Interfaces:
Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class CancelableSwap extends AbstractLIBORMonteCarloProduct
Implements the pricing of a cancelable swap under aLIBORModelMonteCarloSimulationModel
- Version:
- 1.2
- Author:
- Christian Fries
- Date:
- 11.03.2006, 31.05.2009
-
-
Constructor Summary
Constructors Constructor Description CancelableSwap(boolean[] isPeriodStartDateExerciseDate, double[] fixingDates, double[] periodLength, double[] paymentDates, double[] periodNotionals, double[] swaprates)
-
Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description 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.-
Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getFactorDrift, getValue, getValueForModifiedData, getValues
-
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
-
CancelableSwap
public CancelableSwap(boolean[] isPeriodStartDateExerciseDate, double[] fixingDates, double[] periodLength, double[] paymentDates, double[] periodNotionals, double[] swaprates)
- Parameters:
isPeriodStartDateExerciseDate
- If true, we may exercise at period startfixingDates
- Vector of fixing datesperiodLength
- Vector of periodLengthpaymentDates
- Vector of payment dates (must have same length as fixing dates)periodNotionals
- Vector of period notionals.swaprates
- Vector of strikes (must have same length as fixing dates)
-
-
Method Detail
-
getValue
public RandomVariable getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) throws CalculationException
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.
-
-