Module net.finmath.lib

Package net.finmath.modelling

Interface Product

All Known Subinterfaces:

AnalyticProduct, AnalyticProduct, AnalyticVolatilityCubeProduct, DescribedProduct<T>, FiniteDifference1DProduct, FourierTransformProduct, MonteCarloProduct, TermStructureMonteCarloProduct

All Known Implementing Classes:

AbstractAnalyticProduct, AbstractAnalyticProduct, AbstractAnalyticVolatilityCubeProduct, AbstractAssetMonteCarloProduct, AbstractFourierTransformProduct, AbstractIndex, AbstractLIBORMonteCarloProduct, AbstractMonteCarloProduct, AbstractPeriod, AbstractProductComponent, AbstractSingleSwapRateProduct, AccrualAccount, AccruedInterest, AnalyticModelForwardCurveIndex, AnalyticModelIndex, AnnuityDummyProduct, AsianOption, BasketOption, BermudanDigitalOption, BermudanOption, BermudanSwaption, BermudanSwaptionFromSwapSchedules, BlackScholesDeltaHedgedPortfolio, BlackScholesHedgedPortfolio, Bond, Bond, Bond, BondWithForeignNumeraire, CancelableSwap, Cap, Caplet, CappedFlooredIndex, CapShiftedVol, Cashflow, Cashflow, Cashflow, CashSettledPayerSwaption, CashSettledReceiverSwaption, Choice, CMSOption, ConstantMaturitySwap, ConstantMaturitySwaprate, DateIndex, DeltaHedgedPortfolioWithAAD, Deposit, Deposit, DigitalCaplet, DigitalFloorlet, DigitalOption, DigitalOption, DigitalOptionDeltaLikelihood, EuropeanOption, EuropeanOption, EuropeanOptionDeltaLikelihood, EuropeanOptionDeltaPathwise, EuropeanOptionDeltaPathwiseForGeometricModel, EuropeanOptionGammaLikelihood, EuropeanOptionGammaPathwise, EuropeanOptionRhoLikelihood, EuropeanOptionRhoPathwise, EuropeanOptionThetaPathwise, EuropeanOptionVegaLikelihood, EuropeanOptionVegaPathwise, EuropeanOptionWithBoundary, ExpectedTailLoss, ExposureEstimator, FDMEuropeanCallOption, FDMEuropeanPutOption, FiniteDifferenceDeltaHedgedPortfolio, FiniteDifferenceHedgedPortfolio, FixedCoupon, FlexiCap, Forward, Forward, ForwardAgreement, ForwardAgreementWithFundingRequirement, ForwardCurveIndex, ForwardRateAgreement, ForwardRateAgreement, ForwardRateAgreementGeneralized, ForwardRateVolatilitySurfaceCurvature, FundingCapacity, HybridAssetMonteCarloProduct, IndexedValue, InterestRateMonteCarloProductFactory.SwapLegMonteCarlo, InterestRateMonteCarloProductFactory.SwapMonteCarlo, InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo, LaggedIndex, LIBORBond, LIBORIndex, LinearCombinationIndex, LocalRiskMinimizingHedgePortfolio, MarketForwardRateAgreement, MarketForwardRateAgreement, MaxIndex, MinIndex, MoneyMarketAccount, NormalizingDummyProduct, Numeraire, NumerairePerformanceIndex, NumerairePerformanceOnScheduleIndex, Option, Performance, Performance, PerformanceIndex, Period, Portfolio, Portfolio, Portfolio, PortfolioMonteCarloProduct, PowIndex, ProductCollection, ProductIndex, Selector, SimpleCappedFlooredFloatingRateBond, SimpleSwap, SimpleZeroSwap, SingleAssetFourierProductFactory.DigitalOptionFourierMethod, SingleAssetFourierProductFactory.EuropeanOptionFourierMethod, SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo, SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo, Swap, Swap, Swap, SwapAnnuity, SwapAnnuity, SwapLeg, SwapLeg, SwapLeg, SwapLegWithFundingProvider, SwaprateCovarianceAnalyticApproximation, Swaption, SwaptionAnalyticApproximation, SwaptionAnalyticApproximationRebonato, SwaptionATM, SwaptionFromSwapSchedules, SwaptionGeneralizedAnalyticApproximation, SwaptionSimple, SwaptionSingleCurve, SwaptionSingleCurveAnalyticApproximation, SwaptionWithComponents, SwapWithComponents, TimeDiscreteEndOfMonthIndex, TriggerIndex, UnsupportedIndex, UnsupportedProduct, WorstOfExpressCertificate

public interface Product

Interface implemented by all financial product which may be valued by a model.

Version:

1.0

Author:

Christian Fries

Method Summary

Modifier and Type	Method	Description
Object	getValue(double evaluationTime, Model model)	Return the valuation of the product using the given model.
default Map<String,Object>	getValues(double evaluationTime, Model model)	Return the valuation of the product using the given model.

Method Detail

getValue

Object getValue(double evaluationTime,
                Model model)

Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.

Parameters:

evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.

model - The model under which the product is valued.

Returns:

Object containing the value of the product using the given model.

getValues

default Map<String,Object> getValues(double evaluationTime,
                                           Model model)

Return the valuation of the product using the given model. Implement this method using a checked cast of the model to a derived model for which the product provides a valuation algorithm. Example: an interest rate product requires that the passed model object implements the interface of an interest rate model. Since there is no polymorphism on arguments (see Double Dynamic Dispatch), we reply on a checked cast.

Parameters:

evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.

model - The model under which the product is valued.

Returns:

Map containing the value of the product using the given model.