Uses of Class
net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent
Package
Description
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
.Provides a set product components which allow to build financial products by composition.
Provides a set of indices which can be used as part of a period.
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Uses of AbstractProductComponent in net.finmath.montecarlo.interestrate.products
Modifier and TypeClassDescriptionclass
Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel. -
Uses of AbstractProductComponent in net.finmath.montecarlo.interestrate.products.components
Modifier and TypeClassDescriptionclass
Base class for a period.class
Implementation of a general accrual account.class
A single deterministic cashflow at a fixed timeclass
An right to choose between two underlyings.class
The expected tail loss.class
Implements (a numerical approximation of) the function \( (t,V) \mapsto E( V(t) \vert \mathcal{F}_t ) \) where \( V(t) \) is the (sum of) discounted future value(s) of an underlying \( V \), discounted to \( t \) and \( t \) is a given evaluation time.class
An indexed value.class
A single deterministic cashflow at a fixed timeclass
An option.class
A period.class
A collection of product components (like periods, options, etc.) paying the sum of their payouts.class
A selection of a value on another component.Modifier and TypeMethodDescriptionProductCollection.getProducts()
Returns the collection containing all products as an unmodifiable collection.ModifierConstructorDescriptionAbstractPeriod
(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index) Initialize basic properties of the period using the idealized daycount factionperiodEnd-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.IndexedValue
(double exerciseDate, AbstractProductComponent index, AbstractProductComponent underlying) Creates the function J(t) V(t), where J(t) = E(I(t)|F_t) for the given I(t).Creates a notional which is derived by calling the getValue method on the period start of a given component.Period
(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, boolean couponFlow, boolean notionalFlow, boolean payer) Create a simple period with notional and index (coupon) flow.Period
(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer) Create a simple period with notional and index (coupon) flow.Period
(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer, boolean isExcludeAccruedInterest) Create a simple period with notional and index (coupon) flow.Period
(LocalDateTime referenceDate, double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer, boolean isExcludeAccruedInterest) Create a simple period with notional and index (coupon) flow.ProductCollection
(AbstractProductComponent... products) Creates a collection of product components paying the sum of their payouts.ModifierConstructorDescriptionProductCollection
(Collection<AbstractProductComponent> products) Creates a collection of product components paying the sum of their payouts. -
Uses of AbstractProductComponent in net.finmath.montecarlo.interestrate.products.indices
Modifier and TypeClassDescriptionclass
Base class for indices.class
An accrued interest index.class
An index which is given by a name referencing a curve of an analytic model.class
An index which is given by a name referencing a curve of an analytic model.class
An capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices, i.e., objects implementingAbstractIndex
.class
An idealized (single curve) CMS index with given maturity and given period length.class
An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.class
A fixed coupon index paying constant coupon..class
A fixed coupon index paying coupon calculated from a forward curve.class
A time-lagged index paying index(t+fixingOffset)class
A (floating) forward rate index for a given period start offset (offset from fixing) and period length.class
A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)class
A maximum index.class
A minumum index.class
A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length.class
A (floating) rate index representing the performance of the numeraire asset.class
A performance index being numeratorIndex(t) / denominatorIndex(t)class
A power index.class
A product index being index1(t) * index2(t)class
An index which maps is evaluation point to a fixed discrete point, the end of the month, then takes the value of a given base index at this point.class
A trigger index.class
An index throwing an exception if hisgetValue
method is called.Modifier and TypeMethodDescriptionPerformanceIndex.getDenominatorIndex()
Returns the denominator index.LinearCombinationIndex.getIndex1()
Returns the index 1.LinearCombinationIndex.getIndex2()
Returns the index 2.PerformanceIndex.getNumeratorIndex()
Returns the numerator index.ModifierConstructorDescriptionLaggedIndex
(AbstractProductComponent index, double fixingOffset) Creates a time-lagged index paying index(t+fixingOffset).LaggedIndex
(AbstractProductComponent index, String fixingOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar) LinearCombinationIndex
(double scaling1, AbstractProductComponent index1, double scaling2, AbstractProductComponent index2) Create a linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)MaxIndex
(AbstractProductComponent... indexArguments) Creates the function max(index1(t), index2(t), ...)MinIndex
(AbstractProductComponent... indexArguments) Creates the function min(index1(t), index2(t), ...)PerformanceIndex
(AbstractProductComponent numeratorIndex, AbstractProductComponent denominatorIndex) Create a performance index being numeratorIndex(t) / denominatorIndex(t)PowIndex
(AbstractProductComponent index, double exponent) Creates the function pow(index(t), exponent)TriggerIndex
(AbstractProductComponent trigger, AbstractProductComponent indexIfTriggerIsPositive, AbstractProductComponent indexIfTriggerIsNegative) Creates the function trigger(t) ≥ 0.0 ? indexIfTriggerIsPositive(t) : indexIfTriggerIsNegative(t)