- 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.FlexiCap
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- All Implemented Interfaces:
Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class FlexiCap extends AbstractLIBORMonteCarloProduct
This class implements the valuation of a Flexi Cap (aka Auto Cap). IfmaximumNumberOfExercises = fixingDates.length
then this is a Cap. The payoff of the product is L(Ti) - Ki if L(Ti) - Ki > 0 and the number of j < i such that L(Tj) - Kj if L(Tj) - Kj > 0 is less thanmaximumNumberOfExercises
, where Ti is an element offixingDates
.- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description FlexiCap(double[] fixingDates, double[] paymentDates, double[] strikes, int maximumNumberOfExercises)
Create a Flexi Cap (aka Auto Cap).
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double[]
getStrikes()
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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FlexiCap
public FlexiCap(double[] fixingDates, double[] paymentDates, double[] strikes, int maximumNumberOfExercises)
Create a Flexi Cap (aka Auto Cap). IfmaximumNumberOfExercises = fixingDates.length
then this is a Cap.- Parameters:
fixingDates
- Vector of fixing datespaymentDates
- Vector of payment dates (must have same length as fixing dates)strikes
- Vector of strikes (must have same length as fixing dates)maximumNumberOfExercises
- Maximum number of exercises.
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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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getStrikes
public double[] getStrikes()
- Returns:
- Returns the strikes.
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