Module net.finmath.lib
Class ProductCollection
- 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.ProductCollection
-
- All Implemented Interfaces:
Serializable
,Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class ProductCollection extends AbstractProductComponent
A collection of product components (like periods, options, etc.) paying the sum of their payouts.- Version:
- 1.1
- Author:
- Christian Fries
- See Also:
- Serialized Form
-
-
Constructor Summary
Constructors Constructor Description ProductCollection(Collection<AbstractProductComponent> products)
Creates a collection of product components paying the sum of their payouts.ProductCollection(AbstractProductComponent... products)
Creates a collection of product components paying the sum of their payouts.
-
Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description String
getCurrency()
Returns the currency string of this product.Collection<AbstractProductComponent>
getProducts()
Returns the collection containing all products as an unmodifiable collection.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
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
-
ProductCollection
public ProductCollection(AbstractProductComponent... products)
Creates a collection of product components paying the sum of their payouts.- Parameters:
products
- Array of AbstractProductComponent objects
-
ProductCollection
public ProductCollection(Collection<AbstractProductComponent> products)
Creates a collection of product components paying the sum of their payouts.- Parameters:
products
- Collection of AbstractProductComponent objects
-
-
Method Detail
-
getCurrency
public String getCurrency()
Description copied from interface:MonteCarloProduct
Returns the currency string of this product.- Specified by:
getCurrency
in interfaceMonteCarloProduct
- Overrides:
getCurrency
in classAbstractMonteCarloProduct
- Returns:
- the currency
-
getProducts
public Collection<AbstractProductComponent> getProducts()
Returns the collection containing all products as an unmodifiable collection.- Returns:
- the collection containing all products.
-
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. Cashflows 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.- See Also:
AbstractMonteCarloProduct.getValue(double, net.finmath.montecarlo.MonteCarloSimulationModel)
-
toString
public String toString()
- Overrides:
toString
in classAbstractMonteCarloProduct
-
-