Class PerformanceIndex

    • Constructor Detail

      • PerformanceIndex

        public PerformanceIndex​(AbstractProductComponent numeratorIndex,
                                AbstractProductComponent denominatorIndex)
        Create a performance index being numeratorIndex(t) / denominatorIndex(t)
        Parameters:
        numeratorIndex - First index.
        denominatorIndex - Second index.
    • 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.
      • getNumeratorIndex

        public AbstractProductComponent getNumeratorIndex()
        Returns the numerator index.
        Returns:
        the numerator index.
      • getDenominatorIndex

        public AbstractProductComponent getDenominatorIndex()
        Returns the denominator index.
        Returns:
        the denominator index.
      • 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.