Package net.finmath.smartcontract.valuation.implementation

Class FlowScheduleCalculator

java.lang.Object

net.finmath.smartcontract.valuation.implementation.FlowScheduleCalculator

public class FlowScheduleCalculator
extends Object

Decomposes the underlying swap of a Smart Derivative Contract contained in a FMPL into individual periods and values them using historic market data. Stores the results as flow-schedule objects of type FlowScheduleSwap or FlowScheduleSwapLeg.

Author:

Raphael Prandtl

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	FlowScheduleCalculator.LegType

Constructor Summary

Constructors

Constructor	Description
FlowScheduleCalculator()

Method Summary

Modifier and Type	Method	Description
FlowScheduleSwap	getFlowScheduleSwap(String productData, String marketData)
FlowScheduleSwapLeg	getFlowScheduleSwapLeg(String productData, String marketData, FlowScheduleCalculator.LegType legType)
String	getFlowScheduleSwapXml(String productData, String marketData)
SmartDerivativeContractDescriptor	getSmartderivativeContractDescriptor(String productData)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

FlowScheduleCalculator

public FlowScheduleCalculator()

Method Details

getFlowScheduleSwapXml

public String getFlowScheduleSwapXml(String productData,
 String marketData)

Parameters:

productData - The FPML of the Smart Derivative Contract

marketData - The FPML of the historic market data

Returns:

The flow schedule of the underlying swap as an XML-string.

getFlowScheduleSwap

public FlowScheduleSwap getFlowScheduleSwap(String productData,
 String marketData)

Parameters:

productData - The FPML of the Smart Derivative Contract

marketData - The FPML of the historic market data

Returns:

The flow schedule of the underlying swap as a FlowScheduleSwap

getFlowScheduleSwapLeg

public FlowScheduleSwapLeg getFlowScheduleSwapLeg(String productData,
 String marketData,
 FlowScheduleCalculator.LegType legType)

Parameters:

productData - The FPML of the Smart Derivative Contract

marketData - The FPML of the historic market data

legType - The FlowScheduleCalculator.LegType of the swap, i.e. LEG_RECEIVER or LEG_PAYER

Returns:

The flow schedule of the underlying swap leg as an XML-string

getSmartderivativeContractDescriptor

public SmartDerivativeContractDescriptor getSmartderivativeContractDescriptor(String productData)