Module net.finmath.lib

Package net.finmath.marketdata2.products

Class SwapLeg

java.lang.Object

net.finmath.marketdata2.products.AbstractAnalyticProduct

net.finmath.marketdata2.products.SwapLeg

All Implemented Interfaces:

AnalyticProduct, Product

public class SwapLeg
extends AbstractAnalyticProduct
implements AnalyticProduct

Implements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve). The swap leg valuation supports distinct discounting and forward curves. Support for day counting is provided via the class implementing Schedule.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
SwapLeg(Schedule legSchedule, String forwardCurveName, double spread, String discountCurveName)	Creates a swap leg without notional reset and without notional exchange.
SwapLeg(Schedule legSchedule, String forwardCurveName, double spread, String discountCurveName, boolean isNotionalExchanged)	Creates a swap leg without notional reset.
SwapLeg(Schedule legSchedule, String forwardCurveName, double spread, String discountCurveName, String discountCurveForNotionalResetName, boolean isNotionalExchanged)	Creates a swap leg.

Method Summary

Modifier and Type	Method	Description
String	getDiscountCurveName()
String	getForwardCurveName()
Schedule	getSchedule()
double	getSpread()
RandomVariable	getValue(double evaluationTime, AnalyticModel model)	Return the valuation of the product using the given model.
boolean	isNotionalExchanged()
String	toString()

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, wait, wait, wait

Methods inherited from interface net.finmath.modelling.Product

getValue, getValues

Constructor Detail

SwapLeg

public SwapLeg(Schedule legSchedule,
               String forwardCurveName,
               double spread,
               String discountCurveName,
               String discountCurveForNotionalResetName,
               boolean isNotionalExchanged)

Creates a swap leg.

Parameters:

legSchedule - ScheduleFromPeriods of the leg.

forwardCurveName - Name of the forward curve, leave empty if this is a fix leg.

spread - Fixed spread on the forward or fix rate.

discountCurveName - Name of the discount curve for the leg.

discountCurveForNotionalResetName - Name of the discount curve used for notional reset. If it is left empty or equal to discountCurveName then there is no notional reset.

isNotionalExchanged - If true, the leg will pay notional at the beginning of each swap period and receive notional at the end of the swap period. Note that the cash flow date for the notional is periodStart and periodEnd (not fixingDate and paymentDate).

SwapLeg

public SwapLeg(Schedule legSchedule,
               String forwardCurveName,
               double spread,
               String discountCurveName,
               boolean isNotionalExchanged)

Creates a swap leg without notional reset.

Parameters:

legSchedule - ScheduleFromPeriods of the leg.

forwardCurveName - Name of the forward curve, leave empty if this is a fix leg.

spread - Fixed spread on the forward or fix rate.

discountCurveName - Name of the discount curve for the leg.

isNotionalExchanged - If true, the leg will pay notional at the beginning of each swap period and receive notional at the end of the swap period. Note that the cash flow date for the notional is periodStart and periodEnd (not fixingDate and paymentDate).

SwapLeg

public SwapLeg(Schedule legSchedule,
               String forwardCurveName,
               double spread,
               String discountCurveName)

Creates a swap leg without notional reset and without notional exchange.

Parameters:

legSchedule - ScheduleFromPeriods of the leg.

forwardCurveName - Name of the forward curve, leave empty if this is a fix leg.

spread - Fixed spread on the forward or fix rate.

discountCurveName - Name of the discount curve for the leg.

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

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.

getSchedule

public Schedule getSchedule()

getForwardCurveName

public String getForwardCurveName()

getSpread

public double getSpread()

getDiscountCurveName

public String getDiscountCurveName()

isNotionalExchanged

public boolean isNotionalExchanged()

toString

public String toString()

Overrides:

toString in class Object