Class BondWithForeignNumeraire

All Implemented Interfaces:
Product, MonteCarloProduct

public class BondWithForeignNumeraire extends HybridAssetMonteCarloProduct
This class implements the valuation of a zero coupon bond.
Version:
1.1
Author:
Christian Fries
  • Constructor Details

    • BondWithForeignNumeraire

      public BondWithForeignNumeraire(LocalDateTime referenceDate, String account, double maturity)
      Parameters:
      referenceDate - The date corresponding to \( t = 0 \).
      account - The account name to be used (determines the numeraire).
      maturity - The maturity given as double.
    • BondWithForeignNumeraire

      public BondWithForeignNumeraire(String account, double maturity)
      Parameters:
      account - The account name to be used (determines the numeraire).
      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.