- 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.DigitalCaplet
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- All Implemented Interfaces:
Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class DigitalCaplet extends AbstractLIBORMonteCarloProduct
Implements the valuation of a digital caplet using a givenLIBORModelMonteCarloSimulationModel
. The digital caplet pays periodLength if L > K and else 0. Here L = L(Ti,Ti+1;t) is the forward rate with period start Ti and period end Ti+1 and fixing t. K denotes the strike rate.- Version:
- 1.1
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description DigitalCaplet(double optionMaturity, double periodStart, double periodEnd, double strike)
Create a digital caplet with given maturity and strike.
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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
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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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DigitalCaplet
public DigitalCaplet(double optionMaturity, double periodStart, double periodEnd, double strike)
Create a digital caplet with given maturity and strike.- Parameters:
optionMaturity
- The option maturity.periodStart
- The period start of the forward rate.periodEnd
- The period end of the forward rate.strike
- The strike rate.
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Method Detail
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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.
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