Module net.finmath.lib
Class NotionalFromComponent
- java.lang.Object
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- net.finmath.montecarlo.interestrate.products.components.NotionalFromComponent
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Constructor Summary
Constructors Constructor Description NotionalFromComponent(AbstractProductComponent notional)
Creates a notional which is derived by calling the getValue method on the period start of a given component.
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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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NotionalFromComponent
public NotionalFromComponent(AbstractProductComponent notional)
Creates a notional which is derived by calling the getValue method on the period start of a given component. Note: The class performs a check of the measurability of the notional. If the notional is not \( F_{t} \)-measurable (for t = period start), an exception is thrown.- Parameters:
notional
- The component providing the notation.
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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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getNotionalAtPeriodEnd
public RandomVariable getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)
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.
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getNotionalAtPeriodStart
public RandomVariable getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)
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.
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