Module net.finmath.lib
Class SwapLegWithFundingProvider
- 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.SwapLegWithFundingProvider
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- All Implemented Interfaces:
Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class SwapLegWithFundingProvider extends AbstractLIBORMonteCarloProduct
- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description SwapLegWithFundingProvider(Schedule legSchedule, double[] notionals, AbstractIndex index, double[] spreads, FundingCapacity fundingCapacity)
Creates a swap leg.
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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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SwapLegWithFundingProvider
public SwapLegWithFundingProvider(Schedule legSchedule, double[] notionals, AbstractIndex index, double[] spreads, FundingCapacity fundingCapacity)
Creates a swap leg. The swap leg is build from elementary components.- Parameters:
legSchedule
- ScheduleFromPeriods of the leg.notionals
- An array of notionals for each period in the schedule.index
- The index.spreads
- Fixed spreads on the forward or fix rate.fundingCapacity
- A funding capacity monitor.
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Method Detail
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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.
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