Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Interface TermStructureMonteCarloProduct

All Superinterfaces:

MonteCarloProduct, Product

All Known Implementing Classes:

AbstractIndex, AbstractLIBORMonteCarloProduct, AbstractPeriod, AbstractProductComponent, AccrualAccount, AccruedInterest, AnalyticModelForwardCurveIndex, AnalyticModelIndex, BermudanSwaption, BermudanSwaptionFromSwapSchedules, Bond, CancelableSwap, Caplet, CappedFlooredIndex, Cashflow, Choice, CMSOption, ConstantMaturitySwaprate, DateIndex, DigitalCaplet, DigitalFloorlet, ExpectedTailLoss, ExposureEstimator, FixedCoupon, FlexiCap, ForwardCurveIndex, ForwardRateVolatilitySurfaceCurvature, FundingCapacity, IndexedValue, InterestRateMonteCarloProductFactory.SwapLegMonteCarlo, InterestRateMonteCarloProductFactory.SwapMonteCarlo, InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo, LaggedIndex, LIBORBond, LIBORIndex, LinearCombinationIndex, MaxIndex, MinIndex, MoneyMarketAccount, Numeraire, NumerairePerformanceIndex, NumerairePerformanceOnScheduleIndex, Option, PerformanceIndex, Period, Portfolio, PowIndex, ProductCollection, ProductIndex, Selector, SimpleCappedFlooredFloatingRateBond, SimpleSwap, SimpleZeroSwap, Swap, SwapLeg, SwapLegWithFundingProvider, Swaption, SwaptionAnalyticApproximation, SwaptionAnalyticApproximationRebonato, SwaptionATM, SwaptionFromSwapSchedules, SwaptionGeneralizedAnalyticApproximation, SwaptionSimple, SwaptionSingleCurve, SwaptionSingleCurveAnalyticApproximation, SwaptionWithComponents, SwapWithComponents, TimeDiscreteEndOfMonthIndex, TriggerIndex, UnsupportedIndex

public interface TermStructureMonteCarloProduct
extends MonteCarloProduct

Interface for products requiring an LIBORModelMonteCarloSimulationModel as base class

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
FactorDrift	getFactorDrift(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme)	Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.
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.
Map<String,Object>	getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

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

Method Detail

getValue

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.

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.

getValues

Map<String,Object> getValues(double evaluationTime,
                                   LIBORModelMonteCarloSimulationModel model)
                            throws CalculationException

This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime. The valuation is returned in terms of a map. The map may contain additional information. 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.

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.

getFactorDrift

FactorDrift getFactorDrift(LIBORModelMonteCarloSimulationModel referenceScheme,
                           LIBORModelMonteCarloSimulationModel targetScheme)

Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.

Parameters:

referenceScheme - The reference scheme

targetScheme - The target scheme

Returns:

The FactorDriftInterface