Module net.finmath.lib

Package net.finmath.modelling.productfactory

Class InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.interestrate.products.AbstractTermStructureMonteCarloProduct

net.finmath.modelling.productfactory.InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo

All Implemented Interfaces:

DescribedProduct<InterestRateSwaptionProductDescriptor>, Product, TermStructureMonteCarloProduct, MonteCarloProduct

Enclosing class:

InterestRateMonteCarloProductFactory

public static class InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo
extends AbstractTermStructureMonteCarloProduct
implements DescribedProduct<InterestRateSwaptionProductDescriptor>

Monte-Carlo method based implementation of a physically settled interest rate swaption from a product descriptor.

Author:

Christian Fries, Roland Bachl

Constructor Summary

Constructors

Constructor	Description
SwaptionPhysicalMonteCarlo(InterestRateSwaptionProductDescriptor descriptor, LocalDate referenceDate)	Create product from descriptor.

Method Summary

Modifier and Type	Method	Description
InterestRateSwaptionProductDescriptor	getDescriptor()	Return a product descriptor representing this product.
RandomVariable	getValue(double evaluationTime, TermStructureMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.

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

SwaptionPhysicalMonteCarlo

public SwaptionPhysicalMonteCarlo(InterestRateSwaptionProductDescriptor 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 InterestRateSwaptionProductDescriptor getDescriptor()

Description copied from interface: DescribedProduct

Return a product descriptor representing this product.

Specified by:

getDescriptor in interface DescribedProduct<InterestRateSwaptionProductDescriptor>

Returns:

The product descriptor of this product.

getValue

public RandomVariable getValue(double evaluationTime,
 TermStructureMonteCarloSimulationModel model)
                        throws CalculationException

Description copied from interface: TermStructureMonteCarloProduct

This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.

Specified by:

getValue in interface TermStructureMonteCarloProduct

Specified by:

getValue in class AbstractTermStructureMonteCarloProduct

Parameters:

evaluationTime - The time on which this products value should be observed.

model - The model used to price the product.

Returns:

The random variable representing the value of the product discounted to evaluation time

Throws:

CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.