Class ForwardRateAgreementGeneralized

    • Constructor Detail

      • ForwardRateAgreementGeneralized

        public ForwardRateAgreementGeneralized​(LocalDateTime referenceDate,
                                               String curve,
                                               double fixing,
                                               double periodStart,
                                               double periodEnd)
        Create a forward rate agreement.
        referenceDate - The referenceDate corresponding to time t=0 of the model.
        curve - The curve on which the fixing of the index occurs.
        fixing - The floating point of the fixing date offset to the referenceData.
        periodStart - The floating point of the period start date offset to the referenceData.
        periodEnd - The floating point of the period end date offset to the referenceData.
      • ForwardRateAgreementGeneralized

        public ForwardRateAgreementGeneralized​(String currency,
                                               double fixing,
                                               double periodStart,
                                               double periodEnd)
    • Method Detail

      • 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
        evaluationTime - The time on which this products value should be observed.
        model - The model used to price the product.
        The random variable representing the value of the product discounted to evaluation time
        CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.