Class BondWithForeignNumeraire

    • Constructor Detail

      • BondWithForeignNumeraire

        public BondWithForeignNumeraire​(LocalDateTime referenceDate,
                                        String account,
                                        double maturity)
        Parameters:
        referenceDate - The date corresponding to \( t = 0 \).
        account - The account name to be used (determines the numeraire).
        maturity - The maturity given as double.
      • BondWithForeignNumeraire

        public BondWithForeignNumeraire​(String account,
                                        double maturity)
        Parameters:
        account - The account name to be used (determines the numeraire).
        maturity - The maturity given as double.
    • Method Detail

      • getValue

        public RandomVariable getValue​(double evaluationTime,
                                       HybridAssetMonteCarloSimulation 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 class HybridAssetMonteCarloProduct
        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.
      • getMaturity

        public double getMaturity()
        Returns:
        Returns the maturity.