Module net.finmath.lib

Package net.finmath.montecarlo.hybridassetinterestrate.products

Class ForwardRateAgreementGeneralized

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct

net.finmath.montecarlo.hybridassetinterestrate.products.ForwardRateAgreementGeneralized

All Implemented Interfaces:

Product, MonteCarloProduct

public class ForwardRateAgreementGeneralized
extends HybridAssetMonteCarloProduct

This class implements the valuation of a zero coupon bond.

Version:

1.1

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
ForwardRateAgreementGeneralized(String currency, double fixing, double periodStart, double periodEnd)
ForwardRateAgreementGeneralized(LocalDateTime referenceDate, String curve, double fixing, double periodStart, double periodEnd)	Create a forward rate agreement.
ForwardRateAgreementGeneralized(LocalDateTime referenceDate, String currency, double fixing, double periodStart, double periodEnd, RandomVariable spread, RandomVariable cap, RandomVariable floor)

Method Summary

Modifier and Type	Method	Description
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.

Methods inherited from class net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

ForwardRateAgreementGeneralized

public ForwardRateAgreementGeneralized(LocalDateTime referenceDate,
                                       String currency,
                                       double fixing,
                                       double periodStart,
                                       double periodEnd,
                                       RandomVariable spread,
                                       RandomVariable cap,
                                       RandomVariable floor)

ForwardRateAgreementGeneralized

public ForwardRateAgreementGeneralized(LocalDateTime referenceDate,
                                       String curve,
                                       double fixing,
                                       double periodStart,
                                       double periodEnd)

Create a forward rate agreement.

Parameters:

referenceDate - The referenceDate corresponding to time t=0 of the model.

curve - The curve on which the fixing of the index occurs.

fixing - The floating point of the fixing date offset to the referenceData.

periodStart - The floating point of the period start date offset to the referenceData.

periodEnd - The floating point of the period end date offset to the referenceData.

ForwardRateAgreementGeneralized

public ForwardRateAgreementGeneralized(String currency,
                                       double fixing,
                                       double periodStart,
                                       double periodEnd)

Method Detail

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 class HybridAssetMonteCarloProduct

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 the cause() method.