Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Class SwaptionFactory

java.lang.Object

net.finmath.montecarlo.interestrate.products.SwaptionFactory

public class SwaptionFactory
extends Object

A factory (helper class) to create swaptions extending AbstractLIBORMonteCarloProduct according to some (simplified) specifications. The class is useful if you like to create, e.g., calibration products depending on some parameters.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
static TermStructureMonteCarloProduct	createSwaption(String className, double swaprate, TimeDiscretization swapTenor, String valueUnitAsString)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

createSwaption

public static TermStructureMonteCarloProduct createSwaption(String className,
                                                            double swaprate,
                                                            TimeDiscretization swapTenor,
                                                            String valueUnitAsString)