Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Class Portfolio

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

net.finmath.montecarlo.interestrate.products.Portfolio

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class Portfolio
extends AbstractProductComponent

Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel. The products can be scaled by weights. The value of the portfolio is that of \( \sum_{i=0}^{n} weights\[i\] \cdot products\[i\] \text{.} \) Note: Currently the products have to be of the same currency.

Version:

1.2

Author:

Christian Fries

See Also:

Serialized Form

Date:

08.09.2006

Constructor Summary

Constructors

Constructor	Description
Portfolio(String currency, AbstractLIBORMonteCarloProduct[] products, double[] weights)	Creates a portfolio consisting of a set of products and a weights.
Portfolio(AbstractLIBORMonteCarloProduct[] products, double[] weights)	Creates a portfolio consisting of a set of products and a weights.
Portfolio(AbstractLIBORMonteCarloProduct product, double weight)	Creates a portfolio consisting of a single product and a weight.

Method Summary

Modifier and Type	Method	Description
String	getCurrency()	Returns the currency string of this product.
TermStructureMonteCarloProduct[]	getProducts()
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.
double[]	getWeights()
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

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

getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Detail

Portfolio

public Portfolio(AbstractLIBORMonteCarloProduct product,
                 double weight)

Creates a portfolio consisting of a single product and a weight. The currency of this portfolio is the currency of the product.

Parameters:

product - A product.

weight - A weight.

Portfolio

public Portfolio(AbstractLIBORMonteCarloProduct[] products,
                 double[] weights)

Creates a portfolio consisting of a set of products and a weights. Note: Currently the products have to be of the same currency.

Parameters:

products - An array of products.

weights - An array of weights (having the same lengths as the array of products).

Portfolio

public Portfolio(String currency,
                 AbstractLIBORMonteCarloProduct[] products,
                 double[] weights)

Creates a portfolio consisting of a set of products and a weights. Note: Currently the products have to be of the same currency, namely the one provided.

Parameters:

currency - The currency of the value of this portfolio when calling getValue.

products - An array of products.

weights - An array of weights (having the same lengths as the array of products).

Method Detail

getCurrency

public String getCurrency()

Description copied from interface: MonteCarloProduct

Returns the currency string of this product.

Specified by:

getCurrency in interface MonteCarloProduct

Overrides:

getCurrency in class AbstractMonteCarloProduct

Returns:

the currency

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 class AbstractProductComponent

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

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 interface TermStructureMonteCarloProduct

Specified by:

getValue in class AbstractLIBORMonteCarloProduct

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 the cause() method.

To dos:

The conversion between different currencies is currently not performed.

getProducts

public TermStructureMonteCarloProduct[] getProducts()

Returns:

the products

getWeights

public double[] getWeights()

Returns:

the weights