Module net.finmath.lib
Class AccruingNotional
- java.lang.Object
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- net.finmath.montecarlo.interestrate.products.components.AccruingNotional
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Constructor Summary
Constructors Constructor Description AccruingNotional(Notional previousPeriodNotional, AbstractPeriod previousPeriod)
Creates a notion where the notional of the period start is calculated as the notional of the previous period's period end and the notional at period end is calculated as being accrued via getCoupon on the current period.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description String
getCurrency()
Returns the currency string of this notional.RandomVariable
getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)
Calculates the notional at the end of a period, given a period.RandomVariable
getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)
Calculates the notional at the start of a period, given a period.
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Constructor Detail
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AccruingNotional
public AccruingNotional(Notional previousPeriodNotional, AbstractPeriod previousPeriod)
Creates a notion where the notional of the period start is calculated as the notional of the previous period's period end and the notional at period end is calculated as being accrued via getCoupon on the current period.- Parameters:
previousPeriodNotional
- The notional of the previous period.previousPeriod
- The previous period.
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Method Detail
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getCurrency
public String getCurrency()
Description copied from interface:Notional
Returns the currency string of this notional.- Specified by:
getCurrency
in interfaceNotional
- Returns:
- the currency
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getNotionalAtPeriodStart
public RandomVariable getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model) throws CalculationException
Description copied from interface:Notional
Calculates the notional at the start of a period, given a period. Example: The notional can be independent of the period (constant running notional) or depending on the period (accruing notional).- Specified by:
getNotionalAtPeriodStart
in interfaceNotional
- Parameters:
period
- Period.model
- The model against we are evaluation.- Returns:
- The notional for the given period as of period start.
- Throws:
CalculationException
- Thrown if the valuation fails, specific cause may be available via thecause()
method.
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getNotionalAtPeriodEnd
public RandomVariable getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model) throws CalculationException
Description copied from interface:Notional
Calculates the notional at the end of a period, given a period. Example: The notional can be independent of the period (constant running notional) or depending on the period (accruing notional).- Specified by:
getNotionalAtPeriodEnd
in interfaceNotional
- Parameters:
period
- Period.model
- The model against we are evaluation.- Returns:
- The notional for the given period as of period end.
- Throws:
CalculationException
- Thrown if the valuation fails, specific cause may be available via thecause()
method.
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