Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products.components

Class Period

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.AbstractPeriod

net.finmath.montecarlo.interestrate.products.components.Period

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class Period
extends AbstractPeriod

A period. A period has references to the index (coupon) and the notional. It provides the fixing date for the index, the period length, and the payment date.

Version:

1.1

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
Period(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, boolean couponFlow, boolean notionalFlow, boolean payer)	Create a simple period with notional and index (coupon) flow.
Period(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer)	Create a simple period with notional and index (coupon) flow.
Period(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer, boolean isExcludeAccruedInterest)	Create a simple period with notional and index (coupon) flow.
Period(LocalDateTime referenceDate, double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer, boolean isExcludeAccruedInterest)	Create a simple period with notional and index (coupon) flow.

Method Summary

Modifier and Type	Method	Description
RandomVariable	getCoupon(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
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.
String	toString()

Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod

getCurrency, getDaycountFraction, getFixingDate, getIndex, getNotional, getPaymentDate, getPeriodEnd, getPeriodStart, getReferenceDate, queryUnderlyings

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

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

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

Constructor Detail

Period

public Period(LocalDateTime referenceDate,
              double periodStart,
              double periodEnd,
              double fixingDate,
              double paymentDate,
              Notional notional,
              AbstractProductComponent index,
              double daycountFraction,
              boolean couponFlow,
              boolean notionalFlow,
              boolean payer,
              boolean isExcludeAccruedInterest)

Create a simple period with notional and index (coupon) flow.

Parameters:

referenceDate - The date corresponding to time \( t = 0 \).

periodStart - The period start.

periodEnd - The period end.

fixingDate - The fixing date (as double).

paymentDate - The payment date (as double).

notional - The notional object relevant for this period.

index - The index (used for coupon calculation) associated with this period.

daycountFraction - The daycount fraction (coupon = index(fixingDate) * daycountFraction).

couponFlow - If true, the coupon will be payed. Otherwise there will be not coupon flow.

notionalFlow - If true, there will be a positive notional flow at period start (but only if peirodStart > evaluationTime) and a negative notional flow at period end (but only if periodEnd > evaluationTime). Otherwise there will be no notional flows.

payer - If true, the period will be a payer period, i.e. notional and coupon at period end are payed (negative). Otherwise it is a receiver period.

isExcludeAccruedInterest - If the true, the valuation will exclude accrued interest, if any.

Period

public Period(double periodStart,
              double periodEnd,
              double fixingDate,
              double paymentDate,
              Notional notional,
              AbstractProductComponent index,
              double daycountFraction,
              boolean couponFlow,
              boolean notionalFlow,
              boolean payer,
              boolean isExcludeAccruedInterest)

Create a simple period with notional and index (coupon) flow.

Parameters:

periodStart - The period start.

periodEnd - The period end.

fixingDate - The fixing date (as double).

paymentDate - The payment date (as double).

notional - The notional object relevant for this period.

index - The index (used for coupon calculation) associated with this period.

daycountFraction - The daycount fraction (coupon = index(fixingDate) * daycountFraction).

couponFlow - If true, the coupon will be payed. Otherwise there will be not coupon flow.

notionalFlow - If true, there will be a positive notional flow at period start (but only if peirodStart > evaluationTime) and a negative notional flow at period end (but only if periodEnd > evaluationTime). Otherwise there will be no notional flows.

payer - If true, the period will be a payer period, i.e. notional and coupon at period end are payed (negative). Otherwise it is a receiver period.

isExcludeAccruedInterest - If the true, the valuation will exclude accrued interest, if any.

Period

public Period(double periodStart,
              double periodEnd,
              double fixingDate,
              double paymentDate,
              Notional notional,
              AbstractProductComponent index,
              double daycountFraction,
              boolean couponFlow,
              boolean notionalFlow,
              boolean payer)

Create a simple period with notional and index (coupon) flow. The valuation does not exclude the accrued interest, i.e., the valuation reports a so called dirty price.

Parameters:

periodStart - The period start.

periodEnd - The period end.

fixingDate - The fixing date (as double).

paymentDate - The payment date (as double).

notional - The notional object relevant for this period.

index - The index (used for coupon calculation) associated with this period.

daycountFraction - The daycount fraction (coupon = index(fixingDate) * daycountFraction).

couponFlow - If true, the coupon will be payed. Otherwise there will be not coupon flow.

notionalFlow - If true, there will be a positive notional flow at period start (but only if peirodStart > evaluationTime) and a negative notional flow at period end (but only if periodEnd > evaluationTime). Otherwise there will be no notional flows.

payer - If true, the period will be a payer period, i.e. notional and coupon at period end are payed (negative). Otherwise it is a receiver period.

Period

public Period(double periodStart,
              double periodEnd,
              double fixingDate,
              double paymentDate,
              Notional notional,
              AbstractProductComponent index,
              boolean couponFlow,
              boolean notionalFlow,
              boolean payer)

Create a simple period with notional and index (coupon) flow. The valuation does not exclude the accrued interest, i.e., the valuation reports a so called dirty price.

Parameters:

periodStart - The period start.

periodEnd - The period end.

fixingDate - The fixing date (as double).

paymentDate - The payment date (as double).

notional - The notional object relevant for this period.

index - The index (coupon) associated with this period.

couponFlow - If true, the coupon will be payed. Otherwise there will be not coupon flow.

notionalFlow - If true, there will be a positive notional flow at period start (but only if peirodStart > evaluationTime) and a negative notional flow at period end (but only if periodEnd > evaluationTime). Otherwise there will be no notional flows.

payer - If true, the period will be a payer period, i.e. notional and coupon at period end are payed (negative). Otherwise it is a receiver period.

Method Detail

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. Cashflows prior evaluationTime are not considered.

Specified by:

getValue in interface TermStructureMonteCarloProduct

Specified by:

getValue in class AbstractPeriod

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.

getCoupon

public RandomVariable getCoupon(double evaluationTime,
                                LIBORModelMonteCarloSimulationModel model)
                         throws CalculationException

Specified by:

getCoupon in class AbstractPeriod

Throws:

CalculationException

toString

public String toString()

Overrides:

toString in class AbstractPeriod