Module net.finmath.lib
Class IndexedValue
- 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.IndexedValue
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- All Implemented Interfaces:
Serializable
,Product
,TermStructureMonteCarloProduct
,MonteCarloProduct
public class IndexedValue extends AbstractProductComponent
An indexed value. Implements the function J(t) V(t), where J(t) = E(I(t)|F_t) for the given I(t).- Version:
- 1.1
- Author:
- Christian Fries
- See Also:
- Serialized Form
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Constructor Summary
Constructors Constructor Description IndexedValue(double exerciseDate, AbstractProductComponent index, AbstractProductComponent underlying)
Creates the function J(t) V(t), where J(t) = E(I(t)|F_t) for the given I(t).
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description String
getCurrency()
Returns the currency string of this product.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
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
getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData
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Constructor Detail
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IndexedValue
public IndexedValue(double exerciseDate, AbstractProductComponent index, AbstractProductComponent underlying)
Creates the function J(t) V(t), where J(t) = E(I(t)|F_t) for the given I(t).- Parameters:
exerciseDate
- The time t at which the index I is requested (and to which it is conditioned if necessary).index
- The index I.underlying
- The value V.
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Method Detail
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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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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. Cash flows 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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