- java.lang.Object
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- net.finmath.marketdata2.products.AbstractAnalyticProduct
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- net.finmath.marketdata2.products.Deposit
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- All Implemented Interfaces:
AnalyticProduct
,Product
public class Deposit extends AbstractAnalyticProduct implements AnalyticProduct
Implements the valuation of the (overnight) deposit (maturity t+1 or t+2). May be used in curve calibration. For definition and convention see Ametrano/Bianchetti (2013). Following the notation there,...- for deposit ON set spot offset = 0, start = 0D, maturity = 1D
- for deposit TN set spot offset = 1, start = 0D, maturity = 1D
- for deposit ST set spot offset = 2, start = 0D, maturity as given.
- Version:
- 1.0
- Author:
- Rebecca Declara, Christian Fries
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description String
getDiscountCurveName()
double
getFixingTime()
double
getPeriodEndTime()
double
getRate()
RandomVariable
getRate(AnalyticModel model)
Return the deposit rate implied by the given model's curve.Schedule
getSchedule()
RandomVariable
getValue(double evaluationTime, AnalyticModel model)
Return the valuation of the product using the given model.String
toString()
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Methods inherited from class net.finmath.marketdata2.products.AbstractAnalyticProduct
getValue, getValue
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Method Detail
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getValue
public RandomVariable 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 ofAnalyticModel
.- Specified by:
getValue
in interfaceAnalyticProduct
- 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.
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getRate
public RandomVariable getRate(AnalyticModel model)
Return the deposit rate implied by the given model's curve.- Parameters:
model
- The given model containing the curve of namediscountCurveName
.- Returns:
- The value of the deposit rate implied by the given model's curve.
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getSchedule
public Schedule getSchedule()
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getDiscountCurveName
public String getDiscountCurveName()
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getRate
public double getRate()
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getPeriodEndTime
public double getPeriodEndTime()
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getFixingTime
public double getFixingTime()
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