Module net.finmath.lib
Class AbstractPeriod
- 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.components.AbstractProductComponent
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- net.finmath.montecarlo.interestrate.products.components.AbstractPeriod
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- All Implemented Interfaces:
Serializable
,Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
- Direct Known Subclasses:
Period
public abstract class AbstractPeriod extends AbstractProductComponent
Base class for a period. A period has references to the index (coupon) and the notional. It provides the fixing date for the index, the period length, and the payment date.- Version:
- 1.1
- Author:
- Christian Fries
- See Also:
- Serialized Form
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Constructor Summary
Constructors Constructor Description AbstractPeriod(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index)
Initialize basic properties of the period using the idealized daycount factionperiodEnd-periodStart
.AbstractPeriod(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction)
Initialize basic properties of the period.AbstractPeriod(LocalDateTime referenceDate, double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction)
Initialize basic properties of the period.
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Method Summary
All Methods Instance Methods Abstract Methods Concrete Methods Modifier and Type Method Description abstract RandomVariable
getCoupon(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
String
getCurrency()
Returns the currency string of this product.double
getDaycountFraction()
double
getFixingDate()
AbstractProductComponent
getIndex()
Notional
getNotional()
double
getPaymentDate()
double
getPeriodEnd()
double
getPeriodStart()
LocalDateTime
getReferenceDate()
abstract 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.Set<String>
queryUnderlyings()
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.String
toString()
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Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
getExecutor, getValues
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Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractLIBORMonteCarloProduct
getFactorDrift, getValue, getValueForModifiedData
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Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct
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
getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
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Constructor Detail
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AbstractPeriod
public AbstractPeriod(LocalDateTime referenceDate, double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction)
Initialize basic properties of the period.- Parameters:
referenceDate
- The date corresponding to time \( t = 0 \).periodStart
- The period start.periodEnd
- The period end.fixingDate
- The fixing date (as double).paymentDate
- The payment date (as double).notional
- The notional object relevant for this period.index
- The index (used for coupon calculation) associated with this period.daycountFraction
- The daycount fraction (coupon = index(fixingDate) * daycountFraction
).
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AbstractPeriod
public AbstractPeriod(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction)
Initialize basic properties of the period.- Parameters:
periodStart
- The period start.periodEnd
- The period end.fixingDate
- The fixing date (as double).paymentDate
- The payment date (as double).notional
- The notional object relevant for this period.index
- The index (used for coupon calculation) associated with this period.daycountFraction
- The daycount fraction (coupon = index(fixingDate) * daycountFraction
).
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AbstractPeriod
public AbstractPeriod(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index)
Initialize basic properties of the period using the idealized daycount factionperiodEnd-periodStart
.- Parameters:
periodStart
- The period start.periodEnd
- The period end.fixingDate
- The fixing date (as double).paymentDate
- The payment date (as double).notional
- The notional object relevant for this period.index
- The index (coupon) associated with this period.
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Method Detail
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getValue
public abstract RandomVariable getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model) throws CalculationException
Description copied from interface:TermStructureMonteCarloProduct
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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getCoupon
public abstract RandomVariable getCoupon(double evaluationTime, LIBORModelMonteCarloSimulationModel model) throws CalculationException
- Throws:
CalculationException
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getCurrency
public String getCurrency()
Description copied from interface:MonteCarloProduct
Returns the currency string of this product.- Specified by:
getCurrency
in interfaceMonteCarloProduct
- Overrides:
getCurrency
in classAbstractMonteCarloProduct
- Returns:
- the currency
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getReferenceDate
public LocalDateTime getReferenceDate()
- Returns:
- the reference date
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getPeriodStart
public double getPeriodStart()
- Returns:
- the period start
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getPeriodEnd
public double getPeriodEnd()
- Returns:
- the period end
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getFixingDate
public double getFixingDate()
- Returns:
- the fixing date
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getPaymentDate
public double getPaymentDate()
- Returns:
- the payment date
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getNotional
public Notional getNotional()
- Returns:
- the notional associated with this period.
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getIndex
public AbstractProductComponent getIndex()
- Returns:
- the index associated with this period.
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getDaycountFraction
public double getDaycountFraction()
- Returns:
- the daycount fraction used in this period.
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queryUnderlyings
public Set<String> queryUnderlyings()
Description copied from class:AbstractProductComponent
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.- Specified by:
queryUnderlyings
in classAbstractProductComponent
- Returns:
- A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
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toString
public String toString()
- Overrides:
toString
in classAbstractMonteCarloProduct
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