Class AnalyticModelForwardCurveIndex

    • Constructor Detail

      • AnalyticModelForwardCurveIndex

        public AnalyticModelForwardCurveIndex​(String name,
                                              String curveName,
                                              double fixingOffset,
                                              double paymentOffset)
        Creates a forward rate index for a given period start offset (offset from fixing) and period length.
        Parameters:
        name - The name of an index. Used to map an index on a curve.
        curveName - The name of the curve used to infer the forward of this index.
        fixingOffset - An offset added to the fixing to define the period start.
        paymentOffset - The payment offset passed to getForward.
    • Method Detail

      • getValue

        public RandomVariable getValue​(double evaluationTime,
                                       LIBORModelMonteCarloSimulationModel 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 AbstractIndex
        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.
      • getPeriodStartOffset

        public double getPeriodStartOffset()
        Returns the fixingOffet as an act/365 day count.
        Returns:
        the fixingOffet
      • 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.