Class NumerairePerformanceIndex

  • All Implemented Interfaces:
    Serializable, Product, TermStructureMonteCarloProduct, MonteCarloProduct

    public class NumerairePerformanceIndex
    extends AbstractIndex
    A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length. The index is given give \( F = \frac{1}{dc(t-s)} ( N(t)/N(s) - 1 ) \). where \( s \) denotes the period start and \( t \) denotes the period end and dc is a given daycount convention.
    Christian Fries
    See Also:
    Serialized Form