Module net.finmath.lib
Class ExpectedTailLoss
- 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.ExpectedTailLoss
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- All Implemented Interfaces:
Serializable
,Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class ExpectedTailLoss extends AbstractProductComponent
The expected tail loss. Provides the function underlying(exerciseDate) ≥ quantileValue ? underlying : 0.0, where quantileValue is such that P(underlying > quantileValue) = quantile- Since:
- finmath-lib 4.1.0
- Version:
- 1.1
- Author:
- Christian Fries
- See Also:
- Serialized Form
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Constructor Summary
Constructors Constructor Description ExpectedTailLoss(double exerciseDate, double quantile, TermStructureMonteCarloProduct underlying)
Creates the function underlying(exerciseDate) ≥ quantileValue ? underlying : 0.0, where quantileValue is such that P(underlying > quantileValue) = quantile
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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.Set<String>
queryUnderlyings()
Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.-
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
getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString
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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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ExpectedTailLoss
public ExpectedTailLoss(double exerciseDate, double quantile, TermStructureMonteCarloProduct underlying)
Creates the function underlying(exerciseDate) ≥ quantileValue ? underlying : 0.0, where quantileValue is such that P(underlying > quantileValue) = quantile- Parameters:
exerciseDate
- The date at which the underlying should be observed.quantile
- The quantile value.underlying
- The underlying.
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Method Detail
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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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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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