Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products.indices

Class AbstractIndex

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.indices.AbstractIndex

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

Direct Known Subclasses:

AccruedInterest, AnalyticModelForwardCurveIndex, AnalyticModelIndex, CappedFlooredIndex, ConstantMaturitySwaprate, DateIndex, FixedCoupon, ForwardCurveIndex, LaggedIndex, LIBORIndex, LinearCombinationIndex, MaxIndex, MinIndex, NumerairePerformanceIndex, NumerairePerformanceOnScheduleIndex, PerformanceIndex, PowIndex, ProductIndex, TimeDiscreteEndOfMonthIndex, TriggerIndex, UnsupportedIndex

public abstract class AbstractIndex
extends AbstractProductComponent

Base class for indices. Indices are small functions mapping time and a vector of random variables to a random variable, where the time is the fixing time of the index.

Version:

1.0

Author:

Christian Fries

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor	Description
AbstractIndex()	Initialize an abstract index which does not have a dedicated name or currency, e.g.
AbstractIndex(String name)	Initialize the name of an index.
AbstractIndex(String name, String currency)	Initialize name and currency of an index.

Method Summary

Modifier and Type	Method	Description
String	getName()	Returns the name of the index.
abstract RandomVariable	getValue(double fixingTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

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

getExecutor, getValues, queryUnderlyings

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, toString

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

AbstractIndex

public AbstractIndex(String name,
                     String currency)

Initialize name and currency of an index.

Parameters:

name - The name of an index. Used to map an index on a curve.

currency - The natural currency of an index. This more for compatibility purposes, since the information sould be contained in the name.

AbstractIndex

public AbstractIndex(String name)

Initialize the name of an index.

Parameters:

name - The name of an index. Used to map an index on a curve.

AbstractIndex

public AbstractIndex()

Initialize an abstract index which does not have a dedicated name or currency, e.g. a function of other indicies.

Method Detail

getValue

public abstract RandomVariable getValue(double fixingTime,
                                        LIBORModelMonteCarloSimulationModel model)
                                 throws CalculationException

Description copied from interface: TermStructureMonteCarloProduct

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 AbstractLIBORMonteCarloProduct

Parameters:

fixingTime - 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.

getName

public String getName()

Returns the name of the index.

Returns:

The name of the index.