Module net.finmath.lib
Class SwaptionSingleCurve
- java.lang.Object
-
- net.finmath.montecarlo.AbstractMonteCarloProduct
-
- net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
- net.finmath.montecarlo.interestrate.products.SwaptionSingleCurve
-
- All Implemented Interfaces:
Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class SwaptionSingleCurve extends AbstractLIBORMonteCarloProduct
Implements the valuation of a swaption under a LIBORModelMonteCarloSimulationModel 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 not result in the valuation of a collaterlized option on a collateralized swap. It will be a collaterlized option on a single curve (uncolateralized) swap. For a multi-curve valuation seeSwaption
.- Version:
- 1.1
- Author:
- Christian Fries
-
-
Constructor Summary
Constructors Constructor Description SwaptionSingleCurve(double exerciseDate, double[] fixingDates, double[] paymentDates, double[] swaprates)
Create a swaption.SwaptionSingleCurve(double exerciseDate, double[] fixingDates, double[] paymentDates, double[] periodLengths, double[] swaprates)
Create a swaption.SwaptionSingleCurve(double exerciseDate, TimeDiscretization swapTenor, double swaprate)
Creates a swaption using a TimeDiscretizationFromArray
-
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.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.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
-
SwaptionSingleCurve
public SwaptionSingleCurve(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).
-
SwaptionSingleCurve
public SwaptionSingleCurve(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).
-
SwaptionSingleCurve
public SwaptionSingleCurve(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 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.
-
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
-
toString
public String toString()
- Overrides:
toString
in classAbstractMonteCarloProduct
-
-