Module net.finmath.lib
Class AbstractProductComponent
- java.lang.Object
-
- net.finmath.montecarlo.AbstractMonteCarloProduct
-
- net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
- net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
-
- All Implemented Interfaces:
Serializable
,Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
- Direct Known Subclasses:
AbstractIndex
,AbstractPeriod
,AccrualAccount
,Cashflow
,Choice
,ExpectedTailLoss
,ExposureEstimator
,FundingCapacity
,IndexedValue
,Numeraire
,Option
,Portfolio
,ProductCollection
,Selector
public abstract class AbstractProductComponent extends AbstractLIBORMonteCarloProduct implements Serializable
Base class for product components. Product components are small functions mapping a vector of random variables to a random variable. Components are numeraire adjusted and can be valued on its own.- Version:
- 1.0
- Author:
- Christian Fries
- See Also:
- Serialized Form
-
-
Constructor Summary
Constructors Constructor Description AbstractProductComponent()
AbstractProductComponent(String currency)
-
Method Summary
All Methods Static Methods Instance Methods Abstract Methods Concrete Methods Modifier and Type Method Description protected static ThreadPoolExecutor
getExecutor()
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.abstract Set<String>
queryUnderlyings()
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.-
Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getFactorDrift, getValue, getValue, getValueForModifiedData
-
Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString
-
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
-
AbstractProductComponent
public AbstractProductComponent(String currency)
-
AbstractProductComponent
public AbstractProductComponent()
-
-
Method Detail
-
queryUnderlyings
public abstract Set<String> queryUnderlyings()
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.- Returns:
- A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
-
getValues
public Map<String,Object> getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model) throws CalculationException
Description copied from interface:TermStructureMonteCarloProduct
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.- Specified by:
getValues
in interfaceTermStructureMonteCarloProduct
- Overrides:
getValues
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.
-
getExecutor
protected static ThreadPoolExecutor getExecutor()
-
-