Module net.finmath.lib

Package net.finmath.modelling.productfactory

Class InterestRateMonteCarloProductFactory.SwapLegMonteCarlo

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

net.finmath.montecarlo.interestrate.products.SwapLeg

net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwapLegMonteCarlo

All Implemented Interfaces:

DescribedProduct<InterestRateSwapLegProductDescriptor>, Product, TermStructureMonteCarloProduct, MonteCarloProduct

Enclosing class:

InterestRateMonteCarloProductFactory

public static class InterestRateMonteCarloProductFactory.SwapLegMonteCarlo
extends SwapLeg
implements DescribedProduct<InterestRateSwapLegProductDescriptor>

Monte-Carlo method based implementation of a interest rate swap leg from a product descriptor.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
SwapLegMonteCarlo(InterestRateSwapLegProductDescriptor descriptor, LocalDate referenceDate)	Create product from descriptor.

Method Summary

Modifier and Type	Method	Description
InterestRateSwapLegProductDescriptor	getDescriptor()	Return a product descriptor representing this product.

Methods inherited from class net.finmath.montecarlo.interestrate.products.SwapLeg

getValue

Methods inherited from class net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, toString

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface net.finmath.montecarlo.MonteCarloProduct

getCurrency, getValue, getValue, getValues, getValues, getValues, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData, getValuesForModifiedData

Constructor Details

SwapLegMonteCarlo

public SwapLegMonteCarlo(InterestRateSwapLegProductDescriptor descriptor,
 LocalDate referenceDate)

Create product from descriptor.

Parameters:

descriptor - The descriptor of the product.

referenceDate - The reference date of the data for the valuation, used to convert absolute date to relative dates in double representation.

Method Details

getDescriptor

public InterestRateSwapLegProductDescriptor getDescriptor()

Description copied from interface: DescribedProduct

Return a product descriptor representing this product.

Specified by:

getDescriptor in interface DescribedProduct<InterestRateSwapLegProductDescriptor>

Returns:

The product descriptor of this product.