Module net.finmath.lib

Package net.finmath.marketdata.products

Class MarketForwardRateAgreement

java.lang.Object

net.finmath.marketdata.products.AbstractAnalyticProduct

net.finmath.marketdata.products.MarketForwardRateAgreement

All Implemented Interfaces:

AnalyticProduct, Product

public class MarketForwardRateAgreement
extends AbstractAnalyticProduct
implements AnalyticProduct

Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve). The value of the forward rate agreement at its maturity time t is
(F(t)-K) / (1 + F(t) * dcf(periodStart,periodEnd)) where F(t) is the forward evaluated at maturity and dcf(periodStart,periodEnd) is a given paymentOffset. The value of the forward rate agreement returned for an earlier time is the above payoff multiplied with the corresponding discount factor curve. Note that this valuation ignores a possible convexity adjustment between the forward and the discount factors since the above formula is not a linear function of F. Put differently, if this product is used to calibrate a forward curve to a forward rate agreement, then the calibrated forward curve will include the convexity adjustment.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
MarketForwardRateAgreement(double maturity, double paymentOffset, String forwardCurveName, double spread, String discountCurveName)	Creates a market forward rate agreement.

Method Summary

Modifier and Type	Method	Description
double	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

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.modelling.Product

getValue, getValues

Constructor Details

MarketForwardRateAgreement

public MarketForwardRateAgreement(double maturity,
 double paymentOffset,
 String forwardCurveName,
 double spread,
 String discountCurveName)

Creates a market forward rate agreement.

Parameters:

maturity - Maturity, i.e., fixing on the forward curve.

paymentOffset - Payment offset.

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.

Method Details

getValue

public double getValue(double evaluationTime,
 AnalyticModel model)

Description copied from interface: AnalyticProduct

Return the valuation of the product using the given model. The model has to implement the modes of AnalyticModel.

Specified by:

getValue in interface AnalyticProduct

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.