Module net.finmath.lib
Class Cashflow
- java.lang.Object
-
- net.finmath.montecarlo.AbstractMonteCarloProduct
-
- net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
-
- net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
-
- net.finmath.montecarlo.interestrate.products.components.Cashflow
-
- All Implemented Interfaces:
Serializable
,Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class Cashflow extends AbstractProductComponent
A single deterministic cashflow at a fixed time- Version:
- 1.1
- Author:
- Christian Fries
- See Also:
- Serialized Form
-
-
Constructor Summary
Constructors Constructor Description Cashflow(double flowAmount, double flowDate, boolean isPayer)
Create a single deterministic cashflow at a fixed time.Cashflow(String currency, double flowAmount, double flowDate, boolean isPayer)
Create a single deterministic cashflow at a fixed time.
-
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.Set<String>
queryUnderlyings()
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.String
toString()
-
Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
getExecutor, getValues
-
Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getFactorDrift, getValue, getValueForModifiedData
-
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
-
Cashflow
public Cashflow(String currency, double flowAmount, double flowDate, boolean isPayer)
Create a single deterministic cashflow at a fixed time.- Parameters:
currency
- The currency.flowAmount
- The amount of the cash flow.flowDate
- The flow date.isPayer
- If true, this cash flow will be multiplied by -1 prior valuation.
-
Cashflow
public Cashflow(double flowAmount, double flowDate, boolean isPayer)
Create a single deterministic cashflow at a fixed time.- Parameters:
flowAmount
- The amount of the cash flow.flowDate
- The flow date.isPayer
- If true, this cash flow will be multiplied by -1 prior valuation.
-
-
Method Detail
-
queryUnderlyings
public Set<String> queryUnderlyings()
Description copied from class:AbstractProductComponent
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.- Specified by:
queryUnderlyings
in classAbstractProductComponent
- Returns:
- A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
-
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. cash-flows 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.
-
toString
public String toString()
- Overrides:
toString
in classAbstractMonteCarloProduct
-
-