java.lang.Object
net.finmath.marketdata.products.AbstractAnalyticProduct
net.finmath.marketdata.products.Forward
- All Implemented Interfaces:
AnalyticProduct
,Product
Implements the valuation of a forward using curves (discount curve, forward curve).
The forward value is simply the product of a discount factor and a forward.
This is similar to a FRA (a forward rate), except that there is no scaling with a period length.
The class can be used to define equity forwards. Here the discount curve can be interpreted
as a repo curve.
- Version:
- 1.0
- Author:
- Christian Fries
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Constructor Summary
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Method Summary
Modifier and TypeMethodDescriptiondouble
getValue
(double evaluationTime, AnalyticModel model) Return the valuation of the product using the given model.Methods inherited from class net.finmath.marketdata.products.AbstractAnalyticProduct
getValue, getValue
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Constructor Details
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Forward
public Forward(double maturity, double paymentOffset, String forwardCurveName, double spread, String discountCurveName) Creates a forward. The forward has a unit notional of 1.- Parameters:
maturity
- Maturity, i.e., fixing on the forward curve.paymentOffset
- Payment offset, i.e. payment is maturity + paymentOffset.forwardCurveName
- Name of the forward curve, leave empty if this is a fix payment.spread
- Additional fixed payment (if any).discountCurveName
- Name of the discount curve for the forward.
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Method Details
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getValue
Description copied from interface:AnalyticProduct
Return the valuation of the product using the given model. The model has to implement the modes ofAnalyticModel
.- Specified by:
getValue
in interfaceAnalyticProduct
- Parameters:
evaluationTime
- The evaluation time as double. Cash flows prior and including this time are not considered.model
- The model under which the product is valued.- Returns:
- The value of the product using the given model.
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