Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Class SwaptionSimple

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

net.finmath.montecarlo.interestrate.products.SwaptionSimple

All Implemented Interfaces:

Product, Swaption, TermStructureMonteCarloProduct, MonteCarloProduct

public class SwaptionSimple
extends AbstractLIBORMonteCarloProduct
implements Swaption

Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationModel

Version:

1.2

Author:

Christian Fries

Nested Class Summary

Nested classes/interfaces inherited from interface net.finmath.modelling.products.Swaption

Swaption.ValueUnit

Constructor Summary

Constructors

Constructor	Description
SwaptionSimple(double swaprate, double[] swapTenor, Swaption.ValueUnit valueUnit)	Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).
SwaptionSimple(double swaprate, TimeDiscretization swapTenor)	Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).

Method Summary

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.
String	toString()

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

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

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

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

Constructor Detail

SwaptionSimple

public SwaptionSimple(double swaprate,
                      TimeDiscretization swapTenor)

Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).

Parameters:

swaprate - The strike swaprate of the swaption.

swapTenor - The swap tenor in doubles.

SwaptionSimple

public SwaptionSimple(double swaprate,
                      double[] swapTenor,
                      Swaption.ValueUnit valueUnit)

Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).

Parameters:

swaprate - The strike swaprate of the swaption.

swapTenor - The swap tenor in doubles.

valueUnit - See getValue(AbstractLIBORMarketModel model)

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.

toString

public String toString()

Overrides:

toString in class AbstractMonteCarloProduct