java.lang.Object
net.finmath.marketdata2.products.AbstractAnalyticProduct
net.finmath.marketdata2.products.Performance
- All Implemented Interfaces:
AnalyticProduct
,Product
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 Summary
ConstructorDescriptionPerformance
(AbstractAnalyticProduct productNumerator, AbstractAnalyticProduct productDenominator) Creates a Performance product. -
Method Summary
Modifier and TypeMethodDescriptiongetValue
(double evaluationTime, AnalyticModel model) Return the valuation of the product using the given model.toString()
Methods inherited from class net.finmath.marketdata2.products.AbstractAnalyticProduct
getValue, getValue
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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
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.
-
toString
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