- java.lang.Object
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- net.finmath.montecarlo.AbstractMonteCarloProduct
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- net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
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- net.finmath.montecarlo.interestrate.products.SwaptionSimple
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- All Implemented Interfaces:
Product
,Swaption
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class SwaptionSimple extends AbstractLIBORMonteCarloProduct implements Swaption
Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationModel- Version:
- 1.2
- Author:
- Christian Fries
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Nested Class Summary
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Nested classes/interfaces inherited from interface net.finmath.modelling.products.Swaption
Swaption.ValueUnit
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Constructor Summary
Constructors Constructor Description SwaptionSimple(double swaprate, double[] swapTenor, Swaption.ValueUnit valueUnit)
Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).SwaptionSimple(double swaprate, TimeDiscretization swapTenor)
Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description RandomVariable
getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.String
toString()
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Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
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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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
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Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
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Constructor Detail
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SwaptionSimple
public SwaptionSimple(double swaprate, TimeDiscretization swapTenor)
Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).- Parameters:
swaprate
- The strike swaprate of the swaption.swapTenor
- The swap tenor in doubles.
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SwaptionSimple
public SwaptionSimple(double swaprate, double[] swapTenor, Swaption.ValueUnit valueUnit)
Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).- Parameters:
swaprate
- The strike swaprate of the swaption.swapTenor
- The swap tenor in doubles.valueUnit
- SeegetValue(AbstractLIBORMarketModel model)
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Method Detail
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getValue
public RandomVariable getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel 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 interfaceTermStructureMonteCarloProduct
- Specified by:
getValue
in classAbstractLIBORMonteCarloProduct
- 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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toString
public String toString()
- Overrides:
toString
in classAbstractMonteCarloProduct
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