Module net.finmath.lib
Package net.finmath.marketdata.products

Class Performance

java.lang.Object
net.finmath.marketdata.products.AbstractAnalyticProduct
net.finmath.marketdata.products.Performance
All Implemented Interfaces:
AnalyticProduct, Product
public class Performance extends AbstractAnalyticProduct implements AnalyticProduct
Implements an analytic product given by the ratio of two analytic products. This class may become handy when constructing calibrations products. For example: The swap rate is the performance of a SwapLeg relative to a SwapAnnuity. Note: In the strict sense, the performance is an index an not a product (e.g. it does not have a currency unit). With respect to the implementation we do not make a difference here and implement the AbstractAnalyticProduct interface.
Version:
1.0
Author:
Christian Fries

  • Constructor Details

    • Performance

      public Performance(AbstractAnalyticProduct productNumerator, AbstractAnalyticProduct productDenominator)
      Creates a Performance product.
      Parameters:
      productNumerator - A product implementing AbstractAnalyticProduct for the numerator.
      productDenominator - A product implementing AbstractAnalyticProduct for the denominator.

  • 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.

    • toString

      public String toString()
      Overrides:
      toString in class Object