Module net.finmath.lib

Package net.finmath.marketdata2.products

Class Cashflow

java.lang.Object

net.finmath.marketdata2.products.AbstractAnalyticProduct

net.finmath.marketdata2.products.Cashflow

All Implemented Interfaces:

AnalyticProduct, Product

public class Cashflow
extends AbstractAnalyticProduct
implements AnalyticProduct

Implements the valuation of a single cashflow by a discount curve.

Version:

1.0

Author:

Christian Fries

To dos:

Currency is neither checked nor used.

Constructor Summary

Constructors

Constructor	Description
Cashflow(String currency, double flowAmount, double flowDate, boolean isPayer, String discountCurveName)	Create a single deterministic cashflow at a fixed time.

Method Summary

Modifier and Type	Method	Description
RandomVariable	getValue(double evaluationTime, AnalyticModel model)	Return the valuation of the product using the given model.

Methods inherited from class net.finmath.marketdata2.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

Cashflow

public Cashflow(String currency,
 double flowAmount,
 double flowDate,
 boolean isPayer,
 String discountCurveName)

Create a single deterministic cashflow at a fixed time.

Parameters:

currency - The currency.

flowAmount - The amount of the cash flow.

flowDate - The flow date.

isPayer - If true, this cash flow will be multiplied by -1 prior valuation.

discountCurveName - Name of the discount curve for the cashflow.

Method Details

getValue

public RandomVariable 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.