- java.lang.Object
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- net.finmath.marketdata2.products.AbstractAnalyticProduct
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- net.finmath.marketdata2.products.Performance
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- All Implemented Interfaces:
AnalyticProduct
,Product
public class Performance extends AbstractAnalyticProduct implements AnalyticProduct
Implements an analytic product given by the ratio of two analytic products. This class may become handy when constructing calibrations products. For example: The swap rate is the performance of aSwapLeg
relative to aSwapAnnuity
. Note: In the strict sense, the performance is an index an not a product (e.g. it does not have a currency unit). With respect to the implementation we do not make a difference here and implement the AbstractAnalyticProduct interface.- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description Performance(AbstractAnalyticProduct productNumerator, AbstractAnalyticProduct productDenominator)
Creates a Performance product.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description 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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Constructor Detail
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Performance
public Performance(AbstractAnalyticProduct productNumerator, AbstractAnalyticProduct productDenominator)
Creates a Performance product.- Parameters:
productNumerator
- A product implementing AbstractAnalyticProduct for the numerator.productDenominator
- A product implementing AbstractAnalyticProduct for the denominator.
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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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