Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.products

Class Swaption

  • All Implemented Interfaces:
    Product, Swaption, TermStructureMonteCarloProduct, MonteCarloProduct
    public class Swaption
extends AbstractLIBORMonteCarloProduct
implements Swaption
    Implements the Monte-Carlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel. Note: This implementation is based on model relative times (using ACT/365 floating point offsets). An implementation using dates and exact swap schedules is provided by SwaptionFromSwapSchedules. Important: If the LIBOR Market Model is a multi-curve model in the sense that the numeraire is not calculated from the forward curve, then this valuation does assume that the basis deterministic. For the valuation of a fully generalize swaption, you have to use the Option component on a Swap.
    Version:
    1.3
    Author:
    Christian Fries
    See Also:
    SwaptionFromSwapSchedules

    • Constructor Detail

      • Swaption

        public Swaption​(double exerciseDate,
                double[] fixingDates,
                double[] paymentDates,
                double[] periodLengths,
                double[] swaprates,
                double notional)
        Create a swaption.
        Parameters:
        exerciseDate - The exercise date of the swaption.
        fixingDates - Vector of fixing dates.
        paymentDates - Vector of payment dates (must have same length as fixing dates).
        periodLengths - Vector of period lengths.
        swaprates - Vector of strikes (must have same length as fixing dates).
        notional - The notional date of the swaption.

      • Swaption

        public Swaption​(double exerciseDate,
                double[] fixingDates,
                double[] paymentDates,
                double[] periodLengths,
                double[] swaprates)
        Create a swaption.
        Parameters:
        exerciseDate - Vector of exercise dates.
        fixingDates - Vector of fixing dates.
        paymentDates - Vector of payment dates (must have same length as fixing dates).
        periodLengths - Vector of period lengths.
        swaprates - Vector of strikes (must have same length as fixing dates).

      • Swaption

        public Swaption​(double exerciseDate,
                double[] fixingDates,
                double[] paymentDates,
                double[] swaprates)
        Create a swaption.
        Parameters:
        exerciseDate - Vector of exercise dates.
        fixingDates - Vector of fixing dates.
        paymentDates - Vector of payment dates (must have same length as fixing dates).
        swaprates - Vector of strikes (must have same length as fixing dates).

      • Swaption

        public Swaption​(double exerciseDate,
                TimeDiscretization swapTenor,
                double swaprate)
        Creates a swaption using a TimeDiscretizationFromArray
        Parameters:
        exerciseDate - Exercise date.
        swapTenor - Object specifying period start and end dates.
        swaprate - Strike.

    • 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 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.

      • getValue

        public double getValue​(ForwardCurve forwardCurve,
                       double swaprateVolatility)
        This method returns the value of the product using a Black-Scholes model for the swap rate The model is determined by a discount factor curve and a swap rate volatility.
        Parameters:
        forwardCurve - The forward curve on which to value the swap.
        swaprateVolatility - The Black volatility.
        Returns:
        Value of this product

      • getExerciseDate

        public double getExerciseDate()

      • getFixingDates

        public double[] getFixingDates()

      • getPaymentDates

        public double[] getPaymentDates()

      • getPeriodLengths

        public double[] getPeriodLengths()

      • getSwaprates

        public double[] getSwaprates()

      • getNotional

        public double getNotional()