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

Class LIBORIndex

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.indices.AbstractIndex
net.finmath.montecarlo.interestrate.products.indices.LIBORIndex
All Implemented Interfaces:
Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct
public class LIBORIndex extends AbstractIndex
A (floating) forward rate index for a given period start offset (offset from fixing) and period length.
Version:
1.1
Author:
Christian Fries
See Also:
Serialized Form

  • Constructor Details

    • LIBORIndex

      public LIBORIndex​(String name, String currency, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention)

    • LIBORIndex

      public LIBORIndex​(String name, double periodStartOffset, double periodLength)
      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.
      periodStartOffset - An offset added to the fixing to define the period start.
      periodLength - The period length

    • LIBORIndex

      public LIBORIndex​(double periodStartOffset, double periodLength)
      Creates a forward rate index for a given period start offset (offset from fixing) and period length.
      Parameters:
      periodStartOffset - An offset added to the fixing to define the period start.
      periodLength - The period length

  • Method Details

    • getValue

      public 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 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 periodStartOffset as an act/365 daycount.
      Returns:
      the periodStartOffset

    • getPeriodLength

      public double getPeriodLength​(TermStructureMonteCarloSimulationModel model, double fixingTime)

    • getPeriodLength

      public double getPeriodLength()
      Returns the tenor encoded as an pseudo act/365 daycount fraction.
      Returns:
      the periodLength The tenor as an act/365 daycount fraction.

    • 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