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

Class NotionalFromComponent

java.lang.Object
net.finmath.montecarlo.interestrate.products.components.NotionalFromComponent
All Implemented Interfaces:
Notional
public class NotionalFromComponent extends Object implements Notional
A stochastic notional derived from the valuation of a component.
Since:
finmath-lib 3.6.0
Version:
1.0
Author:
Christian Fries

  • Constructor Details

    • NotionalFromComponent

      public NotionalFromComponent(AbstractProductComponent notional)
      Creates a notional which is derived by calling the getValue method on the period start of a given component. Note: The class performs a check of the measurability of the notional. If the notional is not \( F_{t} \)-measurable (for t = period start), an exception is thrown.
      Parameters:
      notional - The component providing the notation.

  • Method Details

    • getCurrency

      public String getCurrency()
      Description copied from interface: Notional
      Returns the currency string of this notional.
      Specified by:
      getCurrency in interface Notional
      Returns:
      the currency

    • getNotionalAtPeriodEnd

      public RandomVariable getNotionalAtPeriodEnd(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)
      Description copied from interface: Notional
      Calculates the notional at the end of a period, given a period. Example: The notional can be independent of the period (constant running notional) or depending on the period (accruing notional).
      Specified by:
      getNotionalAtPeriodEnd in interface Notional
      Parameters:
      period - Period.
      model - The model against we are evaluation.
      Returns:
      The notional for the given period as of period end.

    • getNotionalAtPeriodStart

      public RandomVariable getNotionalAtPeriodStart(AbstractPeriod period, TermStructureMonteCarloSimulationModel model)
      Description copied from interface: Notional
      Calculates the notional at the start of a period, given a period. Example: The notional can be independent of the period (constant running notional) or depending on the period (accruing notional).
      Specified by:
      getNotionalAtPeriodStart in interface Notional
      Parameters:
      period - Period.
      model - The model against we are evaluation.
      Returns:
      The notional for the given period as of period start.