Module net.finmath.lib

Package net.finmath.montecarlo.hybridassetinterestrate.products

Class Bond

java.lang.Object

net.finmath.montecarlo.AbstractMonteCarloProduct

net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct

net.finmath.montecarlo.hybridassetinterestrate.products.Bond

All Implemented Interfaces:

Product, MonteCarloProduct

public class Bond
extends HybridAssetMonteCarloProduct

This class implements the valuation of a zero coupon bond.

Version:

1.1

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
Bond(String currency, double maturity)
Bond(LocalDateTime referenceDate, String currency, double maturity)

Method Summary

Modifier and Type	Method	Description
double	getMaturity()
RandomVariable	getValue(double evaluationTime, HybridAssetMonteCarloSimulation model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
void	setMaturity(double maturity)
String	toString()

Methods inherited from class net.finmath.montecarlo.hybridassetinterestrate.products.HybridAssetMonteCarloProduct

getFactorDrift, getValue, getValueForModifiedData, getValues

Methods inherited from class net.finmath.montecarlo.AbstractMonteCarloProduct

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

Methods inherited from class java.lang.Object

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

Constructor Details

Bond

public Bond(LocalDateTime referenceDate,
 String currency,
 double maturity)

Parameters:

referenceDate - The date corresponding to \( t = 0 \).

currency - The currency to be used (may include information on collateralization).

maturity - The maturity given as double.

Bond

public Bond(String currency,
 double maturity)

Parameters:

currency - The currency to be used (may include information on collateralization).

maturity - The maturity given as double.

Method Details

getValue

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

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 class HybridAssetMonteCarloProduct

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.

getMaturity

public double getMaturity()

Returns:

Returns the maturity.

setMaturity

public void setMaturity(double maturity)

Parameters:

maturity - The maturity to set.

toString

public String toString()

Overrides:

toString in class AbstractMonteCarloProduct