Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.products.indices

Class UnsupportedIndex

  • All Implemented Interfaces:
    Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct
    public class UnsupportedIndex
extends AbstractIndex
    An index throwing an exception if his getValue method is called. This class can be used to created indices which triggers an exception only upon usage (i.e., late). A typical use case is a financial product referencing an index in one of its past payments, which is not supported by the current model. In that case the product can be valued as of a future date, but no necessarily as of a past date.
    Version:
    1.0
    Author:
    Christian Fries
    See Also:
    Serialized Form

    • Constructor Detail

      • UnsupportedIndex

        public UnsupportedIndex​(String name,
                        Exception exception)
        Creates an unsupported index throwing an exception if his getValue method is called.
        Parameters:
        name - The name of the index.
        exception - The exception to be thrown if this index is valued.

      • UnsupportedIndex

        public UnsupportedIndex​(Exception exception)
        Creates an unsupported index throwing an exception if his getValue method is called.
        Parameters:
        exception - The exception.

    • Method Detail

      • getValue

        public 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 interface TermStructureMonteCarloProduct
        Specified by:
        getValue in class AbstractIndex
        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.

      • 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 class AbstractProductComponent
        Returns:
        A set of underlying names referenced by this product component (i.e., required for valuation) or null if none.