Module net.finmath.lib

Package net.finmath.singleswaprate.products

Class AbstractAnalyticVolatilityCubeProduct

java.lang.Object

net.finmath.singleswaprate.products.AbstractAnalyticVolatilityCubeProduct

All Implemented Interfaces:

AnalyticProduct, Product, AnalyticVolatilityCubeProduct

Direct Known Subclasses:

AbstractSingleSwapRateProduct

public abstract class AbstractAnalyticVolatilityCubeProduct
extends Object
implements AnalyticVolatilityCubeProduct

Abstract layer between interface and implementation, which ensures compatibility of model and product.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
AbstractAnalyticVolatilityCubeProduct()

Method Summary

Modifier and Type	Method	Description
double	getValue(double evaluationTime, AnalyticModel model)	Return the valuation of the product using the given model.
Object	getValue(double evaluationTime, Model model)	Return the valuation of the product using the given model.
double	getValue(VolatilityCubeModel model)	Return the valuation of the product at time 0 using the given model.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface net.finmath.singleswaprate.products.AnalyticVolatilityCubeProduct

getValue

Methods inherited from interface net.finmath.modelling.Product

getValues

Constructor Detail

AbstractAnalyticVolatilityCubeProduct

public AbstractAnalyticVolatilityCubeProduct()

Method Detail

getValue

public double getValue(double evaluationTime,
                       AnalyticModel model)

Description copied from interface: AnalyticProduct

Return the valuation of the product using the given model. The model has to implement the modes of AnalyticModel.

Specified by:

getValue in interface AnalyticProduct

Parameters:

evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.

model - The model under which the product is valued.

Returns:

The value of the product using the given model.

getValue

public Object getValue(double evaluationTime,
                       Model model)

Description copied from interface: Product

Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.

Specified by:

getValue in interface Product

Parameters:

evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.

model - The model under which the product is valued.

Returns:

Object containing the value of the product using the given model.

getValue

public double getValue(VolatilityCubeModel model)

Return the valuation of the product at time 0 using the given model. The model has to implement the modes of VolatilityCubeModel.

Parameters:

model - The model under which the product is valued.

Returns:

The value of the product using the given model.