Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products

Class CancelableSwap

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

net.finmath.montecarlo.interestrate.products.CancelableSwap

All Implemented Interfaces:

Product, TermStructureMonteCarloProduct, MonteCarloProduct

public class CancelableSwap
extends AbstractTermStructureMonteCarloProduct

Implements the pricing of a cancelable swap under a LIBORModelMonteCarloSimulationModel

Version:

1.2

Author:

Christian Fries

Date:

11.03.2006, 31.05.2009

Constructor Summary

Constructors

Constructor	Description
CancelableSwap(boolean[] isPeriodStartDateExerciseDate, double[] fixingDates, double[] periodLength, double[] paymentDates, double[] periodNotionals, double[] swaprates)

Method Summary

Modifier and Type	Method	Description
RandomVariable	getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Details

CancelableSwap

public CancelableSwap(boolean[] isPeriodStartDateExerciseDate,
 double[] fixingDates,
 double[] periodLength,
 double[] paymentDates,
 double[] periodNotionals,
 double[] swaprates)

Parameters:

isPeriodStartDateExerciseDate - If true, we may exercise at period start

fixingDates - Vector of fixing dates

periodLength - Vector of periodLength

paymentDates - Vector of payment dates (must have same length as fixing dates)

periodNotionals - Vector of period notionals.

swaprates - Vector of strikes (must have same length as fixing dates)

Method Details

getValue

public RandomVariable getValue(double evaluationTime,
 TermStructureMonteCarloSimulationModel 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 interface TermStructureMonteCarloProduct

Specified by:

getValue in class AbstractTermStructureMonteCarloProduct

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.