Module net.finmath.lib
Class LinearCombinationIndex
- java.lang.Object
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- net.finmath.montecarlo.AbstractMonteCarloProduct
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- net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
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- net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
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- net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
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- net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex
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- All Implemented Interfaces:
Serializable
,Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class LinearCombinationIndex extends AbstractIndex
A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)- Version:
- 1.0
- Author:
- Christian Fries
- See Also:
- Serialized Form
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Constructor Summary
Constructors Constructor Description LinearCombinationIndex(double scaling1, AbstractProductComponent index1, double scaling2, AbstractProductComponent index2)
Create a linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description AbstractProductComponent
getIndex1()
Returns the index 1.AbstractProductComponent
getIndex2()
Returns the index 2.double
getScaling1()
Returns the scaling 1.double
getScaling2()
Returns the scaling 2.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()
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Methods inherited from class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
getName
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Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
getExecutor, getValues
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Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getFactorDrift, getValue, getValueForModifiedData
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Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
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Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
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Constructor Detail
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LinearCombinationIndex
public LinearCombinationIndex(double scaling1, AbstractProductComponent index1, double scaling2, AbstractProductComponent index2)
Create a linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)- Parameters:
scaling1
- Scaling for first index.index1
- First index.scaling2
- Scaling for second index.index2
- Second index.
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Method Detail
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getValue
public RandomVariable getValue(double evaluationTime, 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 interfaceTermStructureMonteCarloProduct
- Specified by:
getValue
in classAbstractIndex
- 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.
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getIndex1
public AbstractProductComponent getIndex1()
Returns the index 1.- Returns:
- the index 1.
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getIndex2
public AbstractProductComponent getIndex2()
Returns the index 2.- Returns:
- the index 2
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getScaling1
public double getScaling1()
Returns the scaling 1.- Returns:
- the scaling 1
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getScaling2
public double getScaling2()
Returns the scaling 2.- Returns:
- the scaling 2
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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.
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toString
public String toString()
- Overrides:
toString
in classAbstractMonteCarloProduct
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