- java.lang.Object
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- net.finmath.montecarlo.AbstractMonteCarloProduct
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- net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct
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- net.finmath.montecarlo.hybridassetinterestrate.products.Bond
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- All Implemented Interfaces:
Product
,MonteCarloProduct
public class Bond extends HybridAssetMonteCarloProduct
This class implements the valuation of a zero coupon bond.- Version:
- 1.1
- Author:
- Christian Fries
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Constructor Summary
Constructors Constructor Description Bond(String currency, double maturity)
Bond(LocalDateTime referenceDate, String currency, double maturity)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
getMaturity()
RandomVariable
getValue(double evaluationTime, HybridAssetMonteCarloSimulation model)
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.void
setMaturity(double maturity)
String
toString()
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Methods inherited from class net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct
getFactorDrift, getValue, getValueForModifiedData, getValues
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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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Constructor Detail
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Bond
public Bond(LocalDateTime referenceDate, String currency, double maturity)
- Parameters:
referenceDate
- The date corresponding to \( t = 0 \).currency
- The currency to be used (may include information on collateralization).maturity
- The maturity given as double.
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Bond
public Bond(String currency, double maturity)
- Parameters:
currency
- The currency to be used (may include information on collateralization).maturity
- The maturity given as double.
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Method Detail
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getValue
public RandomVariable getValue(double evaluationTime, HybridAssetMonteCarloSimulation model) throws CalculationException
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 classHybridAssetMonteCarloProduct
- 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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getMaturity
public double getMaturity()
- Returns:
- Returns the maturity.
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setMaturity
public void setMaturity(double maturity)
- Parameters:
maturity
- The maturity to set.
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toString
public String toString()
- Overrides:
toString
in classAbstractMonteCarloProduct
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