Class 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.
    Christian Fries
    • Constructor Detail

      • Performance

        public Performance​(AbstractAnalyticProduct productNumerator,
                           AbstractAnalyticProduct productDenominator)
        Creates a Performance product.
        productNumerator - A product implementing AbstractAnalyticProduct for the numerator.
        productDenominator - A product implementing AbstractAnalyticProduct for the denominator.
    • Method Detail

      • 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
        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.
        The value of the product using the given model.