- 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 implementingSchedule
.- 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
All Methods Instance Methods Concrete Methods 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
-
-
-
-
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 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.
-
getSchedule
public Schedule getSchedule()
-
getForwardCurveName
public String getForwardCurveName()
-
getSpread
public double getSpread()
-
getDiscountCurveName
public String getDiscountCurveName()
-
isNotionalExchanged
public boolean isNotionalExchanged()
-
-