Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.products.components

Class AbstractPeriod

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

net.finmath.montecarlo.interestrate.products.components.AbstractPeriod

All Implemented Interfaces:

Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

Direct Known Subclasses:

Period

public abstract class AbstractPeriod
extends AbstractProductComponent

Base class for a period. A period has references to the index (coupon) and the notional. It provides the fixing date for the index, the period length, and the payment date.

Version:

1.1

Author:

Christian Fries

See Also:

• Serialized Form

Constructor Summary

Constructors

Constructor	Description
AbstractPeriod(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index)	Initialize basic properties of the period using the idealized daycount faction periodEnd-periodStart.
AbstractPeriod(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction)	Initialize basic properties of the period.
AbstractPeriod(LocalDateTime referenceDate, double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction)	Initialize basic properties of the period.

Method Summary

Modifier and Type	Method	Description
abstract RandomVariable	getCoupon(double evaluationTime, TermStructureMonteCarloSimulationModel model)
String	getCurrency()	Returns the currency string of this product.
double	getDaycountFraction()
double	getFixingDate()
AbstractProductComponent	getIndex()
Notional	getNotional()
double	getPaymentDate()
double	getPeriodEnd()
double	getPeriodStart()
LocalDateTime	getReferenceDate()
abstract 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.
Set<String>	queryUnderlyings()	Returns a set of underlying names referenced by this product component (i.e., required for valuation) or null if none.
String	toString()

Methods inherited from class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

getExecutor, getValues

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

getFactorDrift, getValue, getValueForModifiedData

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

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

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

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

Constructor Details

AbstractPeriod

public AbstractPeriod(LocalDateTime referenceDate,
 double periodStart,
 double periodEnd,
 double fixingDate,
 double paymentDate,
 Notional notional,
 AbstractProductComponent index,
 double daycountFraction)

Initialize basic properties of the period.

Parameters:

referenceDate - The date corresponding to time \( t = 0 \).

periodStart - The period start.

periodEnd - The period end.

fixingDate - The fixing date (as double).

paymentDate - The payment date (as double).

notional - The notional object relevant for this period.

index - The index (used for coupon calculation) associated with this period.

daycountFraction - The daycount fraction (coupon = index(fixingDate) * daycountFraction).

AbstractPeriod

public AbstractPeriod(double periodStart,
 double periodEnd,
 double fixingDate,
 double paymentDate,
 Notional notional,
 AbstractProductComponent index,
 double daycountFraction)

Initialize basic properties of the period.

Parameters:

periodStart - The period start.

periodEnd - The period end.

fixingDate - The fixing date (as double).

paymentDate - The payment date (as double).

notional - The notional object relevant for this period.

index - The index (used for coupon calculation) associated with this period.

daycountFraction - The daycount fraction (coupon = index(fixingDate) * daycountFraction).

AbstractPeriod

public AbstractPeriod(double periodStart,
 double periodEnd,
 double fixingDate,
 double paymentDate,
 Notional notional,
 AbstractProductComponent index)

Initialize basic properties of the period using the idealized daycount faction periodEnd-periodStart.

Parameters:

periodStart - The period start.

periodEnd - The period end.

fixingDate - The fixing date (as double).

paymentDate - The payment date (as double).

notional - The notional object relevant for this period.

index - The index (coupon) associated with this period.

Method Details

getValue

public abstract RandomVariable getValue(double evaluationTime,
 TermStructureMonteCarloSimulationModel 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 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.

getCoupon

public abstract RandomVariable getCoupon(double evaluationTime,
 TermStructureMonteCarloSimulationModel model)
                                  throws CalculationException

Throws:

CalculationException

getCurrency

public String getCurrency()

Description copied from interface: MonteCarloProduct

Returns the currency string of this product.

Specified by:

getCurrency in interface MonteCarloProduct

Overrides:

getCurrency in class AbstractMonteCarloProduct

Returns:

the currency

getReferenceDate

public LocalDateTime getReferenceDate()

Returns:

the reference date

getPeriodStart

public double getPeriodStart()

Returns:

the period start

getPeriodEnd

public double getPeriodEnd()

Returns:

the period end

getFixingDate

public double getFixingDate()

Returns:

the fixing date

getPaymentDate

public double getPaymentDate()

Returns:

the payment date

getNotional

public Notional getNotional()

Returns:

the notional associated with this period.

getIndex

public AbstractProductComponent getIndex()

Returns:

the index associated with this period.

getDaycountFraction

public double getDaycountFraction()

Returns:

the daycount fraction used in this period.

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.

toString

public String toString()

Overrides:

toString in class AbstractMonteCarloProduct